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.

Put-Call Parity and market frictions

CERREIA VIOGLIO, SIMONE;MACCHERONI, FABIO ANGELO;MARINACCI, MASSIMO
2015

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.
2015
2015
CERREIA VIOGLIO, Simone; Maccheroni, FABIO ANGELO; Marinacci, Massimo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3956325
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