Opposite trades have opposite terminal payoffs

Proved

FinancialDerivatives.FD02.terminalPayoff_neg

by WillR · Oct 26, 2026 · Mathlib 0df444a (Lean v4.33.1)

arbitrageformal-verificationoption-pricing

The signed opposite of a portfolio has the negative terminal value in each state.

This is an original derived theorem target; a remote compiler must validate its declaration and proof.

Preamble

import Mathlib.Data.Real.Basic
import Definitions.Def_fd02_TwoStateMarket
import Definitions.Def_fd02_Trade
import Definitions.Def_fd02_terminalPayoff

Formal statement

namespace FinancialDerivatives.FD02

/-- Opposite trades have opposite terminal payoffs. -/
theorem terminalPayoff_neg (m : TwoStateMarket) (t : Trade) (ω : Bool) :
  terminalPayoff m ({ shares := -t.shares, cash := -t.cash } : Trade) ω = -terminalPayoff m t ω := by sorry

end FinancialDerivatives.FD02

Source

Derived from Wilmott, Howison and Dewynne (1995), §2.4, pp. 30–31. https://doi.org/10.1017/CBO9780511812545.

Read-back

What the Lean code literally says, in plain math · GPT-6

For any market with real spot $S>0$ , bank growth $R>0$ , and stock factors $0\le D<U$ , any signed trade $(x,c)$ , and either Boolean state, negating both holdings negates the terminal payoff: $(-x)SF+(-c)R=-(xSF+cR)$ , with $F=U$ for true and $F=D$ for false.

Human review

Endorsed by Shuze Chen · Oct 27, 2026
Confirmed by the moderator at approval.
Endorsed by WillR · Oct 27, 2026
Confirmed by the mission captain (proposal self-audit).

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