Cerreia-Vioglio, S.; Maccheroni, F.; Marinacci, M. - In: Journal of Economic Theory 157 (2015) C, pp. 730-762
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...