Liquidity modelling
S = minfSjh (h+p)P(D>S) (^0) g=
= min
SjP(D>S) h
h+p=
= minSj 1 P(DS) h
h+p=
= minSjP(DS)p
h+p=
= minfSjP(DS)αg.Observe that one must cumulate until we Örst time hit the levelα.
greg delong
(Greg DeLong)
#1
S = minfSjh (h+p)P(D>S) (^0) g=
= min
SjP(D>S) h
h+p= minSj 1 P(DS) h
h+p= minSjP(DS)p
h+p= minfSjP(DS)αg.Observe that one must cumulate until we Örst time hit the levelα.