A Convex Parimutuel Formulation for Contingent Claim Markets ∗

@inproceedings{Peters2005ACP,
  title={A Convex Parimutuel Formulation for Contingent Claim Markets ∗},
  author={Mark Peters and Yinyu Ye},
  year={2005}
}
We have developed a convex parimutuel formulation for centrally organizing markets for contingent claims and provided the first polynomial time algorithm for the problem. We study the problem of centrally organizing a market where the participants submit bids for contingent claims over the outcome of a future event and the market organizer must determine which bids to accept. The bidder will select a set of future states and a price at which he is willing to buy the contingent claims. By… CONTINUE READING

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