Put–call parity and generalized neo-additive pricing rules

Emy Lécuyer () and Jean-Philippe Lefort ()
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Emy Lécuyer: Université Paris-Dauphine, PSL Research University
Jean-Philippe Lefort: Université Paris-Dauphine, PSL Research University

Theory and Decision, 2021, vol. 90, issue 3, No 11, 542 pages

Abstract: Abstract We study price formulas suited for empirical research in financial markets in which put–call parity is satisfied. We find a connection between risk and the bid–ask spread. We further study the compatibility of the model with market frictions, and determine market subsets where the Fundamental Theorem of Asset Pricing applies. Finally, we characterize the price formula.

Keywords: Choquet pricing; Fundamental Theorem of Asset Pricing; market frictions; Neo-additive capacity; Put–call parity (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11238-020-09775-z

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