Event Outcome Probabilities

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

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

Options spanning a scheduled event are priced from observed event-clock inputs, with sequential overidentification restrictions tested on the Brexit referendum and on 2024 U.S. …

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

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: …

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