5521金融与交易中等数值题short
Passive Unwind Versus Crossing 1
题目
You are long 300 shares. If you skew passively and wait, you fully unwind with probability 0.4 and earn 0.012 per share; if the unwind does not happen, you expect a mark-to-market loss of 0.008 per share on the remaining position. Alternatively, you can cross the spread now and pay 0.005 per share. Which action has higher expected PnL?
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你的答案
passive_EV
cross_EV
action