Put-call parity and market frictions
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Publication:894049
DOI10.1016/J.JET.2014.12.011zbMATH Open1330.91193OpenAlexW2048408786MaRDI QIDQ894049FDOQ894049
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
Recommendations
Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
Cites Work
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Cited In (24)
- Cost-efficient contingent claims with market frictions
- Asset pricing in an imperfect world
- Put-call parity and generalized neo-additive pricing rules
- Evaluating ambiguous random variables from Choquet to maxmin expected utility
- Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk
- Orthogonal decompositions in Hilbert \(A\)-modules
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- Submodular financial markets with frictions
- Updating pricing rules
- The risk-neutral non-additive probability with market frictions
- Call option pricing and replication under economic friction
- A Neyman-Pearson problem with ambiguity and nonlinear pricing
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Dynamic bid-ask pricing under Dempster-Shafer uncertainty
- Negative call prices
- Semi‐efficient valuations and put‐call parity
- Extensions and distortions of \(\lambda\)-fuzzy measures
- Choquet integration on Riesz spaces and dual comonotonicity
- Put-call parities, absence of arbitrage opportunities, and nonlinear pricing rules
- Title not available (Why is that?)
- Financial market structures revealed by pricing rules: efficient complete markets are prevalent
- Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
- Equilibria Under Knightian Price Uncertainty
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