The paper proposes a new method based on stochastic processes theory in order
to analyze the equilibrium on the financial markets under asymmetrical information. The
paper proposes an analytical formula for the liquidity cost in the orders-driven market taking
into consideration the presence of the informed and uninformed investors on the market. This
formula is obtained taking into the consideration the fact that an investor who places a limit
order offers an option to the rest of the market which can be exercised against him.