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RDP 8707: Asymmetric Information and Bid-Ask Spreads in the Eurocurrency Markets
Equation
(
i
)
dh
d
σ
∈
2
−
dR
d
σ
∈
2
.
g
(
h
)
+
dg
(
h
)
d
σ
∈
2
.
R
−
c
(
σ
∈
2
+
c
)
2
.
g
(
h
)
+
g
′
(
h
)
dh
d
σ
∈
2
.
R
−
cg
(
h
)
σ
4
+
Rg
′
(
h
)
dh
d
σ
∈
2
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