1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2023
Options are also options on options: how to smile with Black-Scholes
Claude Martini, Arianna Mingone
We observe that a European Call option with strike can be seen as a Call option with strike on a Call option with strike . Under no arbitrage assumptions, this yie…
q-fin.MF2022
No arbitrage global parametrization for the eSSVI volatility surface
Arianna Mingone
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has alread…
q-fin.MF2021★ 1 cited
Explicit no arbitrage domain for sub-SVIs via reparametrization
Claude Martini, Arianna Mingone
The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 fu…