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Put–call parity and generalized neo-additive pricing rules

Author

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  • Emy Lécuyer

    (Université Paris-Dauphine, PSL Research University)

  • Jean-Philippe Lefort

    (Université Paris-Dauphine, PSL Research University)

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.

Suggested Citation

  • Emy Lécuyer & Jean-Philippe Lefort, 2021. "Put–call parity and generalized neo-additive pricing rules," Theory and Decision, Springer, vol. 90(3), pages 521-542, May.
    • Handle: RePEc:kap:theord:v:90:y:2021:i:3:d:10.1007_s11238-020-09775-z
    DOI: 10.1007/s11238-020-09775-z
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