5825金融与交易困难数值题medium
Reprice After An Informative Fill
题目
Your round-1 bid fills. A fill is more likely when an informed seller is present, so after a fill you assign probability 0.6 to fair value having dropped by 0.05 (and 0.4 to no change). In round 2 you re-quote and earn raw edge 0.04 if filled, with fill probability 0.5, but you also still hold the round-1 unit which loses the fair-value drop. What is the expected round-2 PnL including the revaluation of the held unit?
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