The Physical Crash Frontier: What Finite Option Quotes Can and Cannot Reveal

By Jirong Zhuang

Published 2026-08-24

Everscope rating

1921

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Partial Identification via Second-Order Cone Programming with Power Utility Pricing Kernel. Problem types: Risk Management, Optimization, Partial Identification, Scenario Analysis, Density Estimation.

arXiv:2608.23274 · Paper rankings

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