Aste, T;
Divos, P;
Del Bano Rollin, S;
Bihari, Z;
(2018)
Risk-Neutral Pricing and Hedging of In-Play Football Bets.
Applied Mathematical Finance
, 25
(4)
pp. 315-335.
10.1080/1350486X.2018.1535275.
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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.
Type: | Article |
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Title: | Risk-Neutral Pricing and Hedging of In-Play Football Bets |
Open access status: | An open access version is available from UCL Discovery |
DOI: | 10.1080/1350486X.2018.1535275 |
Publisher version: | https://doi.org/10.1080/1350486X.2018.1535275 |
Language: | English |
Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
Keywords: | Asset pricing, hedging, football, betting |
UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
URI: | https://discovery.ucl.ac.uk/id/eprint/10059998 |
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