Liquidity modelling
Setting the derivative to zero
0 = h
ZS
0
1 f(x)dx p
Zā
S
1 f(x)dx=
= hF(S) p( 1 F(S)).
Solving it forS
(h+p)F(S)=p, F(S)=h+pp.
Setting the derivative to zero
0 = h
ZS
0
1 f(x)dx p
Zā
S
1 f(x)dx=
= hF(S) p( 1 F(S)).
Solving it forS
(h+p)F(S)=p, F(S)=h+pp.