Put–Call Parity and market frictions

A-Tier
Journal: Journal of Economic Theory
Year: 2015
Volume: 157
Issue: C
Pages: 730-762

Authors (3)

Cerreia-Vioglio, S. (not in RePEc) Maccheroni, F. (not in RePEc) Marinacci, M. (Università Commerciale Luigi B...)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:jetheo:v:157:y:2015:i:c:p:730-762
Journal Field
Theory
Author Count
3
Added to Database
2026-01-25