Put-call parity and market frictions

DOI10.1016/J.JET.2014.12.011MaRDI QIDQ894049zbMATHOpenAlexFDO

Authors Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci

Publication date 23 November 2015

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2014.12.011

zbMATH Keywords

market frictionsput-call parityno arbitrageChoquet pricingfundamental theorem of finance

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Recommendations

• Put-call parity and generalized neo-additive pricing rules
• The risk-neutral non-additive probability with market frictions
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Put-call symmetry: extensions and applications
• Semi‐efficient valuations and put‐call parity

Cites work

• scientific article; zbMATH DE number 3802268 (Why is no real title available?)
• scientific article; zbMATH DE number 3195782 (Why is no real title available?)
• A Definition of Subjective Probability
• A general version of the fundamental theorem of asset pricing
• Asset Pricing in Economies with Frictions
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Expected utility with purely subjective non-additive probabilities
• Infinite dimensional analysis. A hitchhiker's guide.
• Integral Representation Without Additivity
• Markets with transaction costs. Mathematical theory.
• Martingales and arbitage in securities markets with transaction costs
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Non-additive measure and integral
• Options and Efficiency
• Risk, ambiguity and the Savage axioms
• Signed integral representations of comonotonic additive functionals
• Spanning and completeness in markets with contingent claims
• Spanning, valuation and options
• Stochastic finance. An introduction in discrete time
• Subjective Probability and Expected Utility without Additivity
• Sulla rappresentazione di funzionali mediante integrali
• The mathematics of arbitrage
• VALUATION EQUILIBRIUM AND PARETO OPTIMUM

Cited in

(24)

• Dynamic bid-ask pricing under Dempster-Shafer uncertainty
• Negative call prices
• Put-call parity and generalized neo-additive pricing rules
• Financial market structures revealed by pricing rules: efficient complete markets are prevalent
• Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
• Semi‐efficient valuations and put‐call parity
• Orthogonal decompositions in Hilbert \(A\)-modules
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• The risk-neutral non-additive probability with market frictions
• Choquet integration on Riesz spaces and dual comonotonicity
• Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
• Evaluating ambiguous random variables from Choquet to maxmin expected utility
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• Submodular financial markets with frictions
• Asset pricing in an imperfect world
• scientific article; zbMATH DE number 6126666 (Why is no real title available?)
• Cost-efficient contingent claims with market frictions
• A Neyman-Pearson problem with ambiguity and nonlinear pricing
• Call option pricing and replication under economic friction
• Put-call parities, absence of arbitrage opportunities, and nonlinear pricing rules
• Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk
• Updating pricing rules
• Equilibria under Knightian price uncertainty
• Extensions and distortions of \(\lambda\)-fuzzy measures

This page was built for publication: Put-call parity and market frictions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894049)