Academic Journal
Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes
| العنوان: | Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes |
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| المؤلفون: | Hanke, Michael, Poulsen, Rolf, Weissensteiner, Alex |
| المصدر: | Hanke , M , Poulsen , R & Weissensteiner , A 2019 , ' Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes ' , Journal of Derivatives , vol. 26 , no. 4 , pp. 128-143 . https://doi.org/10.3905/jod.2019.26.4.128 |
| سنة النشر: | 2019 |
| المجموعة: | University of Copenhagen: Research / Forskning ved Københavns Universitet |
| الوصف: | 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. |
| نوع الوثيقة: | article in journal/newspaper |
| وصف الملف: | application/pdf |
| اللغة: | English |
| DOI: | 10.3905/jod.2019.26.4.128 |
| الاتاحة: | https://researchprofiles.ku.dk/da/publications/numeraire-dependence-in-riskneutral-probabilities-of-event-outcomes(f11870a4-47c7-4528-b2ef-40d945219190).html https://doi.org/10.3905/jod.2019.26.4.128 https://curis.ku.dk/ws/files/227514701/OAversionPoulsen.pdf |
| Rights: | info:eu-repo/semantics/openAccess |
| رقم الانضمام: | edsbas.8CC1435D |
| قاعدة البيانات: | BASE |
| DOI: | 10.3905/jod.2019.26.4.128 |
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