0
votes
0answers
33 views

Better formula than midpoint? [duplicate]

For fair market value one formula is to take midpoint of bid and ask. Is there a better formula that weights the bid size and ask size ? For example if stock A is trading at bid size 2000 at 10.10, ...
7
votes
1answer
392 views

Price functions based on order book events

Assume some equity traded on a given exchange based on an electronic limit open-order book $B$ that makes sequential updates as a function of time $t$. What are "natural" or common price functions $P: ...
2
votes
1answer
168 views

Risk-neutral models for rights issues

A rights issue is the granting by a corporation to its shareholders of a right to purchase $N$ new shares for each $M$ shares they already hold at a (often discounted) price $K$. Thus, it ...
2
votes
2answers
150 views

Pricing forward contract on a stock

Please tell me where I've gone wrong (if I did in fact make a mistake). I'm pricing a long forward on a stock. The usual setup applies: This has payoff $S(T) - K$ at time $T$. We are at $t$ now. ...