Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Put-Call Parities, absence of arbitrage opportunities and non-linear
  pricing rules   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.

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The categories of this paper are: dg-ga
22
The categories of this paper are: chao-dyn
19
The categories of this paper are: eess
0
The categories of this paper are: hep-ph
9
The categories of this paper are: nlin
2
The categories of this paper are: math
14
The categories of this paper are: math-ph
29
The categories of this paper are: funct-an
8
The categories of this paper are: hep-ex
25
The categories of this paper are: patt-sol
11
The categories of this paper are: hep-lat
17
The categories of this paper are: q-fin
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The categories of this paper are: alg-geom
4
The categories of this paper are: cond-mat
15
The categories of this paper are: nucl-ex
26
The categories of this paper are: bayes-an