Arbitrage filtering of option prices: a simple real-time approach
提出一种简单的套利过滤方法，用于预处理欧式期权报价，仅当违反基本无套利条件时才调整价格，且不丢弃任何报价，适合实时应用。
This paper presents a simple arbitrage filtering method for preprocessing European option quotes. Prices are modified only when basic no-arbitrage conditions are violated, and no quotes are discarded. Instead, quotes are adjusted using information from other, more liquid quotes. This process is iterative and continues until all violations are resolved. The filter is shown to minimize an intuitive objective function, and local optimality properties are established, relating to the most liquid quotes. The method is straightforward to implement and fast, making it particularly suitable for real-time applications. Numerical examples illustrate key filtering properties, including the tendency to produce sparse solutions that leave many quotes unchanged, as well as its robustness to outliers.