# Tag Info

5

Regarding your first question. You can try to argue in the following manner. Using the fact that $E_{Q^t}[P(t,T)|\mathcal{F}_s]P(s,t)=P(s,T)$, then: $$p(s)=\lim_{T\to\infty}P(s,T)^{\frac{1}{T}}=\lim_{T\to\infty}(P(s,t)E_{Q^t}[P(t,T)|\mathcal{F}_s])^{\frac{1}{T}}=\lim_{T\to\infty}E_{Q^t}[P(t,T)|\mathcal{F}_s]^{\frac{1}{T}}$$ as ...

2

Regarding your first question, let me reformulate $p(s)$: $p(s)=(\frac{P(s,T)}{P(s,t)})^\frac{1}{T}= \frac{e^{-\frac{(T-s)R(s,T)}{T}}}{e^{⁻\frac{(t-s)R(s,t)}{T}}}.$ Now, because $R(s,t)$ is finite, the term $e^{⁻\frac{t-s}{T}R(s,t)}$ converges to 1 for $T\to\infty$. On the other hand, the term $e^-\frac{(T-s)R(s,T)}{T}$ converges to ...

1

I would look at the following metrics when quantifying "liquidity" in listed options: bid/offer spread number contracts traded and from that follows notional traded (in the option not underlying) frequency of bid/offer adjustments relative to changes in the underlying delta. frequency of liquidity added/removed on the bid and offer side even when no ...

Only top voted, non community-wiki answers of a minimum length are eligible