Put-Call Parity and Market Frictions
Simone Cerreia-Vioglio,
Fabio Maccheroni and
Massimo Marinacci
No 447, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
Abstract:
We extend the Fundamental Theorem of Finance and the Pricing Rule Representation Theorem of Cox and Ross (see Ross [35] and [37] and Cox and Ross [9]) to the case in which market frictions are aken 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. As a further contribution, in so doing we endogenize the state space structure and the contingent claim representation usually assumed to represent assets and markets.
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
https://repec.unibocconi.it/igier/igi/wp/2012/447.pdf (application/pdf)
Related works:
Journal Article: Put–Call Parity and market frictions (2015)
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:igi:igierp:447
Ordering information: This working paper can be ordered from
https://repec.unibocconi.it/igier/igi/
igier@unibocconi.it
Access Statistics for this paper
More papers in Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University via Rontgen, 1 - 20136 Milano (Italy).
Bibliographic data for series maintained by (igier@unibocconi.it).