In this section, we include the effect of trading fees on risk-neutral pricing, which we will denote with the variable
to denote the proportion of the hedge purchased for a given strike in a given epoch, the return for "selling" it can be shown as
and in order for a no-arbitrage environment, we must have the relation
It should be noted that although the APR for selling a hedge may seem quite high, there is always a probability
of the seller's entire position being liquidated.