Put–call parity and generalized neo-additive pricing rules

Put–call parity and generalized neo-additive pricing rules

We study price formulas suited for empirical research in financial markets in which put–call parity is satisfied. We find a connection between risk and the bid–ask spread. We further study the compatibility of the model with market frictions, and determine market subsets where the Fundamental Theore...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Theory and decision 2021-05, Vol.90 (3-4), p.521-542
Hauptverfasser: Lécuyer, Emy, Lefort, Jean-Philippe
Format: Artikel
Sprache:eng
Schlagworte:
Arbitrage
Asset pricing
Behavioral/Experimental Economics
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Expected values
Finance
Friction
Game Theory
Insurance
Management
Operations Research/Decision Theory
Prices
Probability
Put & call options
Quantitative Finance
Securities markets
Social and Behav. Sciences
Statistics for Business
Subsets
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:We study price formulas suited for empirical research in financial markets in which put–call parity is satisfied. We find a connection between risk and the bid–ask spread. We further study the compatibility of the model with market frictions, and determine market subsets where the Fundamental Theorem of Asset Pricing applies. Finally, we characterize the price formula.
ISSN:0040-5833
1573-7187
DOI:10.1007/s11238-020-09775-z