How Likely and How Deep? Sharp Joint Bounds on Risk-Neutral Crash Probability and Conditional Depth from Option Bid–Ask Quotes

By Jirong Zhuang

Published 2026-08-14

Everscope rating

2067.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Finite Linear Representation with Explicit Threshold Mass and Adaptive Support-Function Hull Reconstruction. Problem types: Optimization, Risk Management, Partial Identification, Portfolio Optimization, Density Estimation.

arXiv:2607.25353 · Paper rankings

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