2 papers
q-fin.TR2026
Price manipulation in nonlinear transient impact models: rigidity before memory and complete positivity after memory
Minhyeok Lee
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both order…
q-fin.MF2026
Multi-maturity consistency of option prices under bounded bid-ask spreads: a minimal obstruction and an exact two-date basket operator
Minhyeok Lee
Gerhold and Gülüm derived necessary calendar-vertical-basket conditions for finite call bid-ask quotes when the cash-settlement reference price lies inside a dynamically traded sto…