Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7359801 | Journal of Economic Theory | 2015 | 33 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci,