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andreevnick / robust-financial-portfolio-management-framework

Robust framework for derivative pricing and portfolio evaluation
Apache License 2.0
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Add arbitrage checks #3

Open doctormee opened 3 years ago

doctormee commented 3 years ago

Implement NDSAUP / RNDSAUP checks for different (known) conditions. Throw warning/error if there is a deterministic sure arbitrage opportunity with unbounded profit.

doctormee commented 3 years ago

If 0 \in conv(K_t), then, automatically, NDSAUP is satisfied (since bar(D_t) always includes 0 as a cone) Alternatively, this can be proved directly from definition of arbitrage.

If, additionally, K_t envelope is a convex body (CEB), then 0 \in int(conv(K_t)) also gives sufficient conditions on RNDSAUP (since it implies SGNSAUP)