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Put–call parity and generalized neo-additive pricing rules
Theory and Decision 90 (3-4):521-542 (2020)
Abstract
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.My notes
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References found in this work
Information and ambiguity: herd and contrarian behaviour in financial markets. [REVIEW]J. L. Ford, D. Kelsey & W. Pang - 2013 - Theory and Decision 75 (1):1-15.
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