Put–Call Parity and market frictions

Simone Cerreia-Vioglio, F. Maccheroni and Massimo Marinacci

Journal of Economic Theory, 2015, vol. 157, issue C, 730-762

Abstract: 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.

Keywords: Put–Call Parity; Market frictions; Fundamental Theorem of Finance; No arbitrage; Choquet pricing (search for similar items in EconPapers)
JEL-codes: D81 G12 G13 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Working Paper: Put-Call Parity and Market Frictions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:157:y:2015:i:c:p:730-762

DOI: 10.1016/j.jet.2014.12.011

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