5800金融与交易中等数值题medium
Ladder Width Across Two Levels
题目
A maker posts a two-level ladder on one side. Level 1 at half-spread 0.02 fills with probability 0.5 per round; level 2 at half-spread 0.05 fills with probability 0.2 per round (independent). Each fill carries adverse-selection loss 0.01. Expected PnL per round = sum over levels of fill_prob * (h_level - 0.01). What is the total expected per-round PnL of the ladder?
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