论文标题
召唤平价，缺乏套利机会和非线性定价规则
Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules
论文作者
论文摘要
如果在金融市场中交易的资产价格由非线性定价规则决定，则已经考虑了不同版本的呼叫式平价。我们表明，在单调性下，呼叫和放置选项和折扣证书之间的奇偶阶段是对歧义敏感性（Choquet和/或Sipos）的定价规则的特征，即，可以通过相对于非添加性概率指标来表示的定价规则。我们分析了非依据与套利机会的关系，并为Choquet和Sipos定价规则提供了必要和充分的条件，以免套利。最后，我们确定了违反呼叫式平价的违规行为，并出现了出价差价。
If prices of assets traded in a financial market are determined by non-linear pricing rules, different versions of the Call-Put Parity have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity-sensitive (Choquet and/or Sipos) pricing rules, i.e., pricing rules that can be represented via discounted expectations with respect to non-additive probability measures. We analyze how non-additivity relates to arbitrage opportunities and we give necessary and sufficient conditions for Choquet and Sipos pricing rules to be arbitrage-free. Finally, we identify violations of the Call-Put Parity with the presence of bid-ask spreads.
