2018/10/29 by Sebastián del Baño Rollin, Rollin, Sebastian del Bano, Zsolt Bihari +3
Computer Science · Economics, Econometrics and Finance · Psychology · #Artificial Intelligence in Games #FOS: Economics and business #Gambling Behavior and Treatments #Sports Analytics and Performance #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.1811.03931
openalex publication_date 2018/10/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.