Put-call parity and market frictions
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Publication:894049
DOI10.1016/j.jet.2014.12.011zbMath1330.91193OpenAlexW2048408786MaRDI QIDQ894049
Fabio Maccheroni, Simone Cerreia-Vioglio, 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
Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
Related Items (19)
Put-call parity and generalized neo-additive pricing rules ⋮ Orthogonal decompositions in Hilbert \(A\)-modules ⋮ Choquet integration on Riesz spaces and dual comonotonicity ⋮ Submodular financial markets with frictions ⋮ A Neyman-Pearson problem with ambiguity and nonlinear pricing ⋮ The risk-neutral non-additive probability with market frictions ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Dynamic bid-ask pricing under Dempster-Shafer uncertainty ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk ⋮ Asset pricing in an imperfect world ⋮ Evaluating ambiguous random variables from Choquet to maxmin expected utility ⋮ Capital allocation à la Aumann-Shapley for non-differentiable risk measures ⋮ Extensions and distortions of \(\lambda\)-fuzzy measures ⋮ Equilibria Under Knightian Price Uncertainty ⋮ Updating pricing rules ⋮ Cost-efficient contingent claims with market frictions
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