Multi-maturity consistency of option prices under bounded bid–ask spreads: a minimal obstruction and an exact two-date basket operator

By Minhyeok Lee

Published 2026-07-30

Everscope rating

1934.7

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

5 / 5

About this paper

Methodology: Pathwise model-independent arbitrage analysis with convex-envelope operator construction. Problem types: Optimization, Risk Management, Market Making, Portfolio Optimization.

arXiv:2607.27649 · Paper rankings

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