Efficient Calendar Arbitrage Conditions for Per-Strike Variances

Computational investigation of three candidate conditions (PVO, EDC, SDC) for ensuring absence of calendar arbitrage in generalized strike-wise option surface interpolation models.

q-fin.CP
2500 Surfaces Evaluated 500 per noise level
1.0000 SDC Avg Sufficiency Perfect guarantee
0.8895 Avg Extrap Risk Increase Beyond quoted strikes
0.0232 EDC Avg Restrictiveness Lowest among conditions

Condition Effectiveness

Sufficiency
Necessity
Restrictiveness
False Positive

Condition Performance vs. Noise Level

Detailed Effectiveness Table

Aggregate Comparison

Average Performance Across All Noise Levels

Computational Cost vs. Sufficiency

Extrapolation Risk Analysis

Arbitrage Rates by Strike Region

Extrapolation Risk Details

Violation Severity

Violation Magnitude Distribution

Severity Statistics

Computational Cost

44 PVO Total Ops O(n) -- cheapest
352 SDC Total Ops O(n log n) -- balanced
8844 EDC Total Ops O(n_eval * n) -- thorough