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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.RM2023
A closed form model-free approximation for the Initial Margin of option portfolios
Claude Martini, Arianna Mingone
Central clearing counterparty houses (CCPs) play a fundamental role in mitigating the counterparty risk for exchange traded options. CCPs cover for possible losses during the liqui…