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5780金融与交易简单数值题short

Avellaneda-Stoikov Reservation Shift

题目

Using the Avellaneda-Stoikov reservation price r = mid - q*gamma*sigma^2, the mid is 80.00, you are long q = 25 lots, risk aversion gamma = 0.10, and per-step volatility sigma = 0.40 (so sigma^2 = 0.16). How far below the mid is your reservation price, and what is r?

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