EconPapers    
Economics at your fingertips  
 

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) Downloads
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).

 
Page updated 2025-01-08
Handle: RePEc:igi:igierp:447