Introduces a logit jump-diffusion kernel with risk-neutral drift for modeling and hedging belief dynamics in prediction markets, plus calibration and derivative instruments.
Testing for common arrivals of jumps for discretely observed multidimensional processes.Annals of Statistics, 2009
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Toward Black Scholes for Prediction Markets: A Unified Kernel and Market Maker's Handbook
Introduces a logit jump-diffusion kernel with risk-neutral drift for modeling and hedging belief dynamics in prediction markets, plus calibration and derivative instruments.