Most of the examples of Kelly criterion application are either concrete bets with discrete payoff/loss odds and values, or assumed to be normally distributed. T

Most of the examples of Kelly criterion application are either concrete bets with discrete payoff/loss odds and values, or assumed to be normally distributed. This paper discusses how extremely skewed outcomes (eg, stock options) should affect the Kelly calculation: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161