5491金融与交易中等数值题short
Two-Round Opportunity Value 1
题目
In round 1, a quote has fill probability 0.3 and edge 0.02 if filled. If it does not fill, you get a round-2 opportunity with fill probability 0.25 and edge 0.028. Assume a round-1 fill ends the game because your risk limit is used up. What is total expected edge?
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