Liquidity modelling

If the distribution ofDis discrete,D= 0 , 1 ,.. ..then one must change

the argument.

E(DS)+ =

∞

∑

k=S

P(D>k),

E(SD)+ =

S 1

∑

k= 0

P(Dk).

Let

∆J(S) = J(S+ 1 )J(S)=

= h

S

∑

k= 0

P(Dk)+p

∞

∑

k=S+ 1

P(D>k)

h

S 1

∑

k= 0

P(Dk)p

∞

∑

k=S

P(D>k).