option-price-repair 0.2.0

Repair arbitrage in European call option prices.

option_price_repair: Repair Arbitrage in Option Prices

An pure-python implementation of the arbitrage repair algorithm described in Detect and Repair Arbitrage in Price Data of Traded Options.

Perturbs a set of European call option prices (of arbitrary strike and expiry) on the same underlyer to ensure that certain no-arbitrage conditions are met.

# pip install option-price-repair[cvxpy,analysis]
import polars as pl
from option_price_repair import repair

input_file = "https://raw.githubusercontent.com/vicaws/arbitragerepair/refs/heads/master/data/sample.csv" # authors' sample data
use_bid_ask = True # use bid-ask -based optim

# prepare data
data = pl.read_csv(input_file)
mids = data.filter(pl.col("quote").eq("mid"))
t = mids.get_column("expiry").to_list()
k = mids.get_column("strike").to_list()
c = mids.get_column("call_fv").to_list()
fwd = mids.get_column("forward").to_list()
bid = data.filter(pl.col("quote").eq("bid")).get_column("call_fv").to_list()
ask = data.filter(pl.col("quote").eq("ask")).get_column("call_fv").to_list()
f = {t: fwd for t, fwd in zip(t, fwd)}

bid_ask = {"bid": bid, "ask": ask} if use_bid_ask else None
repaired_prices repair(k, t, c, bid_ask, f, None, verbose=True, plot=True, output_dir=".")

Installation

With cvxpy solver:

pip install option-price-repair[cvxpy]

Without a solver:

pip install option-price-repair

With (optional) perturbation plots:

pip install option-price-repair[cvxpy,analysis]

Features

• MIT license
• Minimal dependencies (only the solver you choose)
• Solver agnostic: cvxpy (Apache 2.0 license) solver implementation is provided, simple to add your own solver
• Verified against the authors' implementation here

User Guide

See __init__.py for the main entrypoint; repair.py for core functions which normalize data and construct constraints, and cvxpy.py for a sample solver implementation.

License

Licensed under the MIT license.