Put–call parity and generalized neo-additive pricing rules

Emy Lécuyer and Jean-Philippe Lefort
Additional contact information
Emy Lécuyer: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Jean-Philippe Lefort: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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
References: Add references at CitEc
Citations:

Published in Theory and Decision, 2021, 90 (3), ⟨10.1007/s11238-020-09775-z⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:hal:cesptp:hal-03355063

DOI: 10.1007/s11238-020-09775-z

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().