← 返回数学题库
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?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案

passive_EV

cross_EV

action