3 papers in the archive (2026), average empirical rigor 7.7/10, average math complexity 5.8/10. Quadrant mix: Holy Grail ×3.
Works mostly in Market Microstructure.
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Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Put-call parity is exact as a terminal-payoff identity, yet its market enforcement is path-dependent and capital-using. This paper examines whether physical-measure drift is reflected in the carry gap, defined as the annualized wedge between option-implied and OIS-implied discounting, using SPX and
Put-call parity is a terminal-payoff identity; quoted residuals against traded futures are near zero. Yet enforcing parity is path-dependent, exposing arbitrageurs to daily settlement, margin, and finite capital. Using minute-level NBBO data on S&P 500 and Russell 2000 options, I extract option-impl
Put-call parity is a risk-neutral identity, but enforcing it is path-dependent and capital-using. I study the carry gap, the annualized wedge between option-implied and OIS discount factors, in SPX and RUT options. Because parity enforcement ties up scarce capital, its opportunity cost may reflect o