Put-Call Parity and market frictions

• 成果类型: Article
• 署名作者: Cerreia-Vioglio, S.; Maccheroni, F.; Marinacci, M.
• 署名单位: Bocconi University; Bocconi University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.12.011
• 发表日期: 2015
• 页码: 730-762
• 关键词: Put Call Parity; Market frictions; Fundamental Theorem of Finance; No arbitrage; Choquet pricing

摘要

We extend the Fundamental Theorem of Finance and the Pricing Rule Representation Theorem to the case in which market frictions are taken into account but the Put Call Parity is still assumed to hold. In turn, we obtain a representation of the pricing rule as a discounted expectation with respect to a nonadditive risk neutral probability. (C) 2014 Elsevier Inc. All rights reserved.