The Risk-Neutral Crash Frontier: Sharp Joint Bounds on Crash Probability and Conditional Depth from Option Bid–Ask Quotes

By Jirong Zhuang

Published 2026-09-18

Everscope rating

1927.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Risk-Neutral Crash Frontier via Finite Linear Programming with Threshold Mass. Problem types: Optimization, Risk Management, Partial Identification, Portfolio Valuation Bounds, Stress Testing.

arXiv:2607.25353 · Paper rankings

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