---
title: Urgency, Liquidity, and the Price of Convenience
url: https://www.ml-quant.com/papers/repec/sfu-sfudps-dp26-12/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-23
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:sfu:sfudps:dp26-12
source_url: https://econpapers.repec.org/RePEc:sfu:sfudps:dp26-12
featured: 2026-10-23
citations: unknown
topic: Derivatives & Volatility
---


# Urgency, Liquidity, and the Price of Convenience

A monetary asset pricing model estimates the convenience yield of liquidity at 5.1% annually, roughly ten times conventional measures, with only 24% attributable to urgency.

- Source: https://econpapers.repec.org/RePEc:sfu:sfudps:dp26-12
- Identifier: RePEc:sfu:sfudps:dp26-12
- Released: 2026-10-19
- First featured: Quant Letter No. 136 (2026-10-23): https://www.ml-quant.com/issues/2026-10-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Lucas Herrenbrueck, Xinhao Dong and Zijian Wang

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