Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

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Standard

Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes. / Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex.

I: Journal of Derivatives, Bind 26, Nr. 4, 2019, s. 128-143.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Hanke, M, Poulsen, R & Weissensteiner, A 2019, 'Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes', Journal of Derivatives, bind 26, nr. 4, s. 128-143. https://doi.org/10.3905/jod.2019.26.4.128

APA

Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes. Journal of Derivatives, 26(4), 128-143. https://doi.org/10.3905/jod.2019.26.4.128

Vancouver

Hanke M, Poulsen R, Weissensteiner A. Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes. Journal of Derivatives. 2019;26(4):128-143. https://doi.org/10.3905/jod.2019.26.4.128

Author

Hanke, Michael ; Poulsen, Rolf ; Weissensteiner, Alex. / Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes. I: Journal of Derivatives. 2019 ; Bind 26, Nr. 4. s. 128-143.

Bibtex

@article{f11870a447c74528b2ef40d945219190,
title = "Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes",
abstract = "For most non-financial events, risk-neutral outcome probabilities are identical across numeraire currencies. Some events, however, such as elections or referendums, may have an impact on exchange rates. This implies numeraire dependence in risk-neutral outcome probabilities, which leads to different state prices for affected currency pairs. If betting odds available to punters do not reflect these differences, this may give rise to (approximate) arbitrage opportunities. Despite the sizable risk this creates, odds quoted by bookmakers seem to ignore this effect.",
author = "Michael Hanke and Rolf Poulsen and Alex Weissensteiner",
year = "2019",
doi = "10.3905/jod.2019.26.4.128",
language = "English",
volume = "26",
pages = "128--143",
journal = "Journal of Derivatives",
issn = "1074-1240",
publisher = "Institutional Investor",
number = "4",

}

RIS

TY - JOUR

T1 - Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

AU - Hanke, Michael

AU - Poulsen, Rolf

AU - Weissensteiner, Alex

PY - 2019

Y1 - 2019

N2 - For most non-financial events, risk-neutral outcome probabilities are identical across numeraire currencies. Some events, however, such as elections or referendums, may have an impact on exchange rates. This implies numeraire dependence in risk-neutral outcome probabilities, which leads to different state prices for affected currency pairs. If betting odds available to punters do not reflect these differences, this may give rise to (approximate) arbitrage opportunities. Despite the sizable risk this creates, odds quoted by bookmakers seem to ignore this effect.

AB - For most non-financial events, risk-neutral outcome probabilities are identical across numeraire currencies. Some events, however, such as elections or referendums, may have an impact on exchange rates. This implies numeraire dependence in risk-neutral outcome probabilities, which leads to different state prices for affected currency pairs. If betting odds available to punters do not reflect these differences, this may give rise to (approximate) arbitrage opportunities. Despite the sizable risk this creates, odds quoted by bookmakers seem to ignore this effect.

U2 - 10.3905/jod.2019.26.4.128

DO - 10.3905/jod.2019.26.4.128

M3 - Journal article

VL - 26

SP - 128

EP - 143

JO - Journal of Derivatives

JF - Journal of Derivatives

SN - 1074-1240

IS - 4

ER -

ID: 223624583