Liquidity modelling
Hence
J(S)=h
ZS
0
(S x)f(x)dx+p
Z∞
S
(x S)f(x)dx.
Using the formula
d
dx
Zφ 2 (x)
φ 1 (x)
f(x,y)dy = f(x,φ 2 (x))φ^02 (x)
Hence
J(S)=h
ZS
0
(S x)f(x)dx+p
Z∞
S
(x S)f(x)dx.
Using the formula
d
dx
Zφ 2 (x)
φ 1 (x)
f(x,y)dy = f(x,φ 2 (x))φ^02 (x)