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5783金融与交易中等数值题medium

Cross Now Or Carry The Variance

题目

You are long q = 20 lots. If you hold, the expected risk cost for the period is (gamma/2)*sigma^2*q^2 with gamma = 0.05 and sigma = 3.0; the expected price drift is zero. If instead you cross the spread and flatten immediately, you pay a certain cost of 0.6 per lot. Compare the two expected costs and decide whether to cross now or carry the position.

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你的答案

hold cost

cross cost

decision