<paper_title>Multi-maturity consistency of option prices under bounded bid–ask spreads: a minimal obstruction and an exact two-date basket operator
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摘要
<paper_abstract>This paper revisits the calendar–vertical–basket (CVB) consistency problem for finite call quotes under bounded bid–ask spreads, correcting a sign mis-specification between printed and executable bids and showing that even after base and one-maturity conditions, sufficiency fails in a minimal two-date setting due to a stock-flip arbitrage. It provides an explicit two-date counterexample panel for any ϵ>0, proves minimality, and derives a closed-form two-date basket operator via a convex-envelope representation that characterizes the model-independent arbitrage cone. The result implies robust hedging and no-arbitrage tests must rely on more than a finite list of CVBs. [page::1]
