We study uncertainty averse preferences, that is, complete and transitive preferences that are convex and monotone. We establish a representation result, which is at the same time general and rich in structure. Many objective functions commonly used in applications are special cases of this...

We extend the Fundamental Theorem of Finance and the Pricing Rule Representation Theorem to the case in which market frictions are taken into account but the Put–Call Parity is still assumed to hold. In turn, we obtain a representation of the pricing rule as a discounted expectation with...