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Quantitative Finance · Glossary

What is Free option of a limit order?

Definition 2.6 Microstructure and Execution · Chapter 2 — Order Types and Their Uses

The free option of a limit order is the right a resting limit order grants the rest of the market: to buy at its price (a resting sell is a call written at that strike) or to sell at its price (a resting buy is a put), exercisable by anyone, at any time, until the order is cancelled.

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