认沽-认购平价、缺乏套利机会和非线性定价规则

IF 1.6 3区经济学 Q3 BUSINESS, FINANCE

Mathematical Finance Pub Date : 2024-03-23 DOI:10.1111/mafi.12433

Lorenzo Bastianello, Alain Chateauneuf, Bernard Cornet

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引用次数: 0

摘要

当金融市场上交易的资产价格由非线性定价规则决定时，看涨期权和看跌期权之间的不同平价就被考虑在内。我们的研究表明，在单调性条件下，看涨期权和看跌期权之间的平价以及贴现证书是对模糊性敏感的（Choquet 和/或 ipoš）定价规则的特征，也就是说，这些定价规则可以通过关于非加成概率度量的贴现期望来表示。我们分析了非可加性与套利机会的关系，并给出了使 Choquet 和 ipoš 定价规则无套利的必要条件和充分条件。最后，我们确定了存在买卖价差时违反看涨-看跌平价的情况。

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Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules

When prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity-sensitive (Choquet and/or Šipoš) pricing rules, that is, pricing rules that can be represented via discounted expectations with respect to non-additive probability measures. We analyze how nonadditivity relates to arbitrage opportunities and we give necessary and sufficient conditions for Choquet and Šipoš pricing rules to be arbitrage free. Finally, we identify violations of the Call-Put Parity with the presence of bid–ask spreads.

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来源期刊

Mathematical Finance 数学-数学跨学科应用

CiteScore

4.10

自引率

6.20%

发文量

审稿时长

>12 weeks

期刊介绍： Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.