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5801金融与交易中等数值题medium

Width Under A Regime-Switch Forecast

题目

Before a scheduled announcement, the maker believes that during its quote's lifetime the market stays in a calm regime with probability 0.6 (requiring half-spread 0.02) or switches to a stressed regime with probability 0.4 (requiring half-spread 0.10). It sets a single posted half-spread equal to the probability-weighted required width across the two regimes. What half-spread does it quote?

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