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Quantitative Finance · Begrippenlijst

Wat is Cross-instrument fair price?

Definition 2.4 Market Making and High-Frequency Trading · Hoofdstuk 2 — Fair Value

A cross-instrument fair price is a fair price that also uses the prices of related instruments, translated into the instrument’s own units (by a hedge ratio, a conversion ratio, a currency or a fair-value basis), so that a move of a related instrument that leads is reflected before the instrument’s own book shows it.

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