diff --git a/src/LogNormal/README.md b/src/LogNormal/README.md index 321e9fca..5ded076d 100644 --- a/src/LogNormal/README.md +++ b/src/LogNormal/README.md @@ -184,10 +184,11 @@ $$ Note that $L$ effectively changes as parameters of the trading function change. To see this, note that the trading function must always satisfy: $$ -\Phi^{-1}\left(\frac{x}{L}\right)+\Phi^{-1}\left(\frac{y}{KL}\right) + \sigma \sqrt{\tau} = 0. +\Phi^{-1}\left(\frac{x}{L}\right)+\Phi^{-1}\left(\frac{y}{ +\mu L}\right) + \sigma = 0. $$ -For new parameters, $K'$, $\sigma'$ and $\tau'$, we must find an $L'$ so that the trading function is satisfied: +For new parameters $\mu'$ and $\sigma'$ we must find an $L'$ so that the trading function is satisfied: $$ -\Phi^{-1}\left(\frac{x}{L'}\right)+\Phi^{-1}\left(\frac{y}{K'L'}\right) + \sigma' \sqrt{\tau'} = 0. +\Phi^{-1}\left(\frac{x}{L'}\right)+\Phi^{-1}\left(\frac{y}{\mu'L'}\right) + \sigma' = 0. $$ We can find this new $L'$ using a root finding algorithm. \ No newline at end of file