Optimal Hedge Ratio for Delta-Neutral Liquidity Provision under Liquidation Constraints

By Atsushi Hane

Published 2026-03-20

Everscope rating

1470.1

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Optimization with First-Passage-Time Constraint. Problem types: Portfolio Optimization, Risk Management, Market Making, Optimization.

arXiv:2603.19716 · Paper rankings

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