Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
研究了当金融资产价格由非线性定价规则决定时，看涨与看跌期权之间的平价关系，发现单调性下的平价关系能刻画模糊敏感定价规则，并分析了非可加性与套利机会的关系。
Abstract 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.