Nikolaos Halidias

Deterministic Arbitrage, Bid–Ask Option Bounds, Localized Arbitrage Portfolios, and Arbitrage-Consistent Projection

We develop a deterministic, model-free framework for detecting and correcting static arbitrage in European call–put books. An arbitrage is a financed portfolio profit that is nonnegative in every admissible state and positive in at least one state. At a common maturity, the continuous piecewise-affine payoff geometry r...