They get out as much Y as is needed to end up back on the curve:
10
Expression 11: "x" equals "x" Subscript, "e" "n" "d" , Baseline left brace, "y" Subscript, "l" "o" "w" , Baseline less than or equal to "y" less than or equal to "y" Subscript, "h" "i" "g" "h" , Baseline , right bracex=xendylow≤y≤yhigh
11
End price: ${p_{endtruncated}} left parenthesis, "x" Subscript, "e" "n" "d" , Baseline , "y" Subscript, "e" "n" "d" , Baseline , right parenthesisxend,yend
Label:
equals=
left parenthesis, 167 , 32.3 4 8 8 0 2 4 , right parenthesis167,32.3488024
12
The slope of the line segment connecting these points is the (negative) average price that the trade is executed at:
13
Expression 14: "y" equals negative "p" Subscript, "e" "x" "e" "c" "u" "t" "i" "o" "n" , Baseline "x" plus "y" Subscript, "s" "t" "a" "r" "t" , Baseline plus "y" Subscript, "e" "n" "d" , Baseline left brace, "x" Subscript, "l" "o" "w" , Baseline less than or equal to "x" less than or equal to "x" Subscript, "h" "i" "g" "h" , Baseline , right bracey=−pexecutionx+ystart+yendxlow≤x≤xhigh
14
For infinitesimally small trades, the price is the slope of the tangent line at that point.
15
Expression 16: "y" equals negative "p" Subscript, "s" "t" "a" "r" "t" , Baseline times "x" plus 2 "y" Subscript, "s" "t" "a" "r" "t" , Baseliney=−pstart·x+2ystart
16
Expression 17: "y" equals negative "p" Subscript, "e" "n" "d" , Baseline "x" plus 2 "y" Subscript, "e" "n" "d" , Baseliney=−pendx+2yend
