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The implied volatility of a sports game

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2015 United States Publisher:Walter de Gruyter GmbHJournal:Journal of Quantitative Analysis in Sports, volume 11 (issn: 2194-6388, eissn: 1559-0410,

Authors: Polson, Nicholas G; Stern, Hal S;

doi: 10.1515/jqas-2014-0095

The implied volatility of a sports game

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Abstract

AbstractIn this paper we provide a method for calculating the implied volatility of the outcome of a sports game. We base our analysis on Stern’s stochastic model for the evolution of sports scores (Stern, H. S. 1994. “A Brownian Motion Model for the Progress of Sports Scores.”

Country

United States

Related Organizations

University of California, Irvine
United States
University of Chicago
United States
University of California System
United States

Keywords

super bowl, point spread, Mechanical Engineering, Statistics, moneyline odds, Human Movement and Sports Sciences, implied volatility

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