Abstract

Public calibration can preserve every admitted option price while leaving latent Perron-stress claims inside a residual pricing fiber. This paper studies that fiber under a latent Perron stress sigma-field, a public sigma-field, and a tradeable public subspace. It separates three $L^2$ objects: the latent Perron loading of a claim, its public conditional projection, and the projection of the claim onto the tradeable span. Public-equivalent pricing kernels preserve public option prices while moving unspanned latent-stress payoffs, generating residual price intervals, stress-charge selections, and optimal visible-hedge decompositions. The hedge residual splits into claim risk outside the Perron field, latent risk invisible to public information, and public risk not spanned by tradeable instruments. Equivalent physical measures transfer the same residual into P&L-bias bounds, hedge-risk floors, capital lower bounds, and convex-compression losses. The synchronized-stress layer separates index variance exposure from single-name carrier absorption. The observable layer supplies finite-span estimands, not an executable trading rule.

Citation

Vidal Llauradó, Joan. “Perron Stress Pricing under Public Compression: Residual Price Intervals, Synchronized Stress, and Visible Hedging.” 2026. doi:10.2139/ssrn.6700598