Risk-Neutral Pricing and Hedging of In-Play Football Bets. Issue 4 (4th July 2018)
- Record Type:
- Journal Article
- Title:
- Risk-Neutral Pricing and Hedging of In-Play Football Bets. Issue 4 (4th July 2018)
- Main Title:
- Risk-Neutral Pricing and Hedging of In-Play Football Bets
- Authors:
- Divos, Peter
Del Bano Rollin, Sebastian
Bihari, Zsolt
Aste, Tomaso - Abstract:
- ABSTRACT: A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to this set-up which enables us to derive novel arbitrage-free valuation formulæ for contracts currently traded in the market. We also describe how to calibrate the model to the market and how trades can be replicated and hedged.
- Is Part Of:
- Applied mathematical finance. Volume 25:Issue 4(2018)
- Journal:
- Applied mathematical finance
- Issue:
- Volume 25:Issue 4(2018)
- Issue Display:
- Volume 25, Issue 4 (2018)
- Year:
- 2018
- Volume:
- 25
- Issue:
- 4
- Issue Sort Value:
- 2018-0025-0004-0000
- Page Start:
- 315
- Page End:
- 335
- Publication Date:
- 2018-07-04
- Subjects:
- Asset pricing -- hedging -- football -- betting
Business mathematics -- Periodicals
650.0151 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/1350486X.2018.1535275 ↗
- Languages:
- English
- ISSNs:
- 1350-486X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 1573.705000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 23895.xml