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Erschienen in:
2007 | OriginalPaper | Buchkapitel
Mathematical Properties of Parimutuel Equilibrium Prices
verfasst von : Ken Baron, Jeffrey Lange
Erschienen in: Parimutuel Applications in Finance
Verlag: Palgrave Macmillan UK
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This chapter describes the mathematical properties of the prices in the Parimutuel Equilibrium Problem (PEP). Specifically, for a given set of opening orders and customer orders (the “auction inputs”), this chapter shows that the PEP has a unique set of state prices and derivative strategy prices. The fact that prices are unique is a very strong result mathematically. In addition, it is a very desirable result pragmatically, as auction participants are likely to find comfort that a particular set of orders can only generate one set of prices.1