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Discrete Time Option Pricing with Bid-Ask Spreads


  • Kast, R.
  • Lapied, A.


Ce papier traite du probleme suivant: quals sont les prix d'achat et de vente qu'un teneur de marche devrait fixer pour un ensemble d'actifs primitifs et derives de sorte qu'il n'y ait pas d'opportunite d'arbitrage et que tous les actifs puissnet etre echanges a toute date par des agents rationnels lorsque les marches sont ouverts? Des conditions d'echanges sont introduites dans un cadre bernoullien, elles permettent d'exprimer les prix comme des esperances mathematiques des paiements des actifs par rapport a deux distributions: une pour les prix d'achat et une pour les prix de vente.

Suggested Citation

  • Kast, R. & Lapied, A., 1995. "Discrete Time Option Pricing with Bid-Ask Spreads," G.R.E.Q.A.M. 97a26, Universite Aix-Marseille III.
  • Handle: RePEc:fth:aixmeq:97a26

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    References listed on IDEAS

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    8. Warr, Peter G., 1982. "Pareto optimal redistribution and private charity," Journal of Public Economics, Elsevier, vol. 19(1), pages 131-138, October.
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    12. Marini Giancarlo & Scaramozzino Pasquale, 1995. "Overlapping Generations and Environmental Control," Journal of Environmental Economics and Management, Elsevier, vol. 29(1), pages 64-77, July.
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    More about this item



    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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