@article{analyticformulaforoptionmarginwith,
  title = {Analytic formula for option margin with liquidity costs under dynamic delta hedging},
  author = {Kyungsub Lee and Byoung Ki Seo},
  year = {2021},
  eprint = {2103.15302},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2103.15302v1},
}