“…7 An interesting question is what will happen if (B.6) does not hold such that −ES α ( f , S, t) ≥ P( f , S, t). Using the terminology of Armstrong and Brigo (2022), the call option in this case exhibits the so-called "ρ-arbitrage" which refers to the existence of a payoff with non-positive Fig. 5 The values of P( f , S, t) and −ES α ( f , S, t) for f being the call option payoff with strike K .…”