Event Outcome Probabilities

Learning Before Scheduled Events: Prediction Markets, State Prices, and Option Valuation featured image

Learning Before Scheduled Events: Prediction Markets, State Prices, and Option Valuation

We price scheduled event risk in an expected utility framework in which investors learn about outcome probabilities beforehand, deriving closed-form event risk premia and option …

michael-hanke
Stochastic Event-Outcome Probabilities and the Pricing of Scheduled Event Risk featured image

Stochastic Event-Outcome Probabilities and the Pricing of Scheduled Event Risk

We analyze event risk premia in an expected utility framework and provide closed-form solutions under both quadratic and power utility for four different cases: …

michael-hanke