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- W4200215141 abstract "• We introduce a general continuous-time framework to model betting markets. • We formulate a stochastic control problem for a bookmaker who can dynamically set the prices of bets. • The bookmaker seeks an optimal price strategy to maximize his expected profit or expected utility of profit. • We obtain the optimal price strategy explicitly in various interesting models. We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of bets placed by gamblers. The bookmaker seeks an optimal price process that maximizes his expected (utility of) terminal wealth. We obtain explicit solutions or characterizations to the bookmaker’s optimal bookmaking problem in various interesting models." @default.
- W4200215141 created "2021-12-31" @default.
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- W4200215141 date "2021-12-01" @default.
- W4200215141 modified "2023-10-16" @default.
- W4200215141 title "Optimal bookmaking" @default.
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- W4200215141 doi "https://doi.org/10.1016/j.ejor.2021.03.005" @default.
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