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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
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