Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules
Lorenzo Bastianello,
Alain Chateauneuf and
Bernard Cornet
Additional contact information
Lorenzo Bastianello: Universite Paris 2 Pantheon-Assas, LEMMA, Paris, France
Bernard Cornet: Department of Economics, University of Kansas, Lawrence, KS 66045, USA
No 202509, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics
Abstract:
If prices of assets traded in a financial market are determined by non-linear pricing rules, different versions of the Call-Put Parity have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity-sensitive (Choquet and/or Sipos) pricing rules, i.e., pricing rules that can be represented via discounted expectations with respect to non-additive probability measures. We analyze how non-additivity relates to arbitrage opportunities and we give necessary and sufficient conditions for Choquet and Sipos pricing rules to be arbitrage free. Finally, we identify violations of the Call-Put Parity with the presence of bid-ask spreads.
Keywords: Asset Pricing; Choquest and/or Sipos pricing; No Arbitrage; Put-Call Parity; Call-Put Parity; Discount Certificate-Call Parity; Market Frictions (search for similar items in EconPapers)
JEL-codes: C71 D81 G12 (search for similar items in EconPapers)
Date: 2025-04
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://kuwpaper.ku.edu/2025Papers/202509.pdf (application/pdf)
Related works:
Working Paper: Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules (2022) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:kan:wpaper:202509
Access Statistics for this paper
More papers in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Professor Zongwu Cai ().