RDP 8707: Asymmetric Information and Bid-Ask Spreads in the Eurocurrency Markets
Equation (A1)
Thus
g
(
h
)
<
e
−
h
2
2
[
1
+
1
h
2
]
[
−
e
−
t
2
2
t
]
h
∞
+
e
−
h
2
2
[
1
+
1
h
2
]
[
−
e
−
h
2
2
h
]
−
h
+
1
h
.
Thus
we
have
h
<
g
(
h
)
<
h
+
1
h
MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=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@8D4E@