supposethat theutilityfunction is

01sqx xtqs Iq s i

Theassociatedvalvefunctionis

y Ets.grX1TtQ1T
Ultsq x S1T Q7 Sct r

Basedonthe of
form utilityfunction weguesstheonsotz

ultsqx x 0.11s go.lts 12920lts s

TheAJB equation conbewrittenby

Ott2ftsOst'sBltstoss ultsgx t mayeh ults qtl x sts ult s g x

my
éh ults q1 xtsts ult sq x
Ult s g x xtqsEqHs

ft ftDost'sBlt
stoss xtoolt.sltqo.lts
Iqalts
mgyekdf
stsbto.lts flitaq0211s 0
ch
my Lsts0,11s 111 lts
2910

xto.lts goIts 2920kts xtqs

fqhcs .mg
I th Elsa s 21gEtc
8 tisq Its oItis flagacts
c
Substitutingoptimal
spreads s toHSB equation 4 th stobto fatigue

opt tDost'sBltstoss xtootistq0Itis Egatt's

q o
É ÉÉt s go I s 2920kts xtqs IgA s
f
afirstorderTaylorexpansion

hot ethos
let et 2 hotl hot
if In 4 218787
 I 4 kfts.mstIlH2qozlt.s tf st sltf iMqoelt.s
In 4 11 2024.5 GO.lts

4 2 180211s

In 2 kyat's

HIBeqbecome

Ott tsost'sBltstoss xtoolt.sltqo.lt's 2 tracts O 7

fqo.lts t

xto.lts go.lts 2920kts xtqs IgA s

intermofpowerof
Grouping
q
go 1 ft t.sosttzpltstoss10 lt s
In 2 krafts O 8

OCTs O

t.sostt.BAstoss0,11s o ca
q ott
acts s

q2 ott tsost Blt 0zts

stoss 0 lo

ECTs s

Thesolutionfor 9,0 o are

0 Ts Et S6 n

acts Et ITSCA

8 Is
Etsy 2 4815,561 15 is

ult sqti x r ult s qx

A r'toast 1O s Cgt acts Ets qq.sl kqO.lts

r'toCts 14729 1 acts 1929M
r'toItis Haqgets 0
x
Similarly reservationaskprice

ult s q 1 xtra actsg x

rants DOCts q1acts ftp.stq ts 2q2o.lts

r 0Itis 2429 1 OctD roots
ra o Its I 29702fts

Thereservation midprice
r rig
y
0 tis EMagacts to Is EN2q70lts
2
r Xo Its 2 12970 ts

r Octs 8qOCts a
Opinolreservationmidprice

r Ets517 pqEt IT se

Itset isgeometricBrownian motion

p g g is

8 tisq Its 0,11s flagacts r 0 ts E ingacts

Ellisq th s 0,115 2 129outs ra 0 Its t 12970211s

Siltsq Its rb ft tf M thts9 trap

siltsq ht s tra y 8

YE Itf
Be YE
O rqq tht
 0 re go ta
O to i aqa th

Generalized Geometric Brownian Motion

Thestockprice intheTsollisstatisticalframeworkofTerminaltime T
is givenby

ST SCO
exp ftPgdast.fr PqIds
totheexpressionofoptimalreservationmidpricewehavetofind It s1507
According

Ets SH EsSCHexp ftp dz tIr Pgtyds

Ets SG E sexp
ftp dz tIr EPqtJds
Ets SH E S exp rct ret tr t t Effort 1 91136 s d zo
 fatal rqligBlsr1sjds
t
i gplsn s ds
ftp.ds f
ofthedistribution Plus conbemoppedontothedistributionof rot
Each attimeT
viaappropriatevariabletransformation

r s
FI ra
1227
µ
Substituting 22 to 21

fatal
t
i gplsn s ds
qds agpartyÉqds
I l g Blt roYfz qds

egads Iie t
sisi o

T
m s Ils g cagesgo t
kagugcEl.tl cagxsqio t ly
Ilsallergiesgo t TY th
a th th
Therefore 1207 becomes

Ets St E S exp rct rct rft t i g Blt

2
2 É 7

where 2 Ils g cagasgo t

Ets sit E Isexp o rct rct rft t i g Blt

2
2 th th
x 1 BIT l g rt de
 i Bettergme
Pq

de Pq dw
Bet ig a
t
2
7