360 citations · 393 across the 10 of their papers we have counts for
13 papers
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…
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…
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…
Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales
Claude Martini, Iacopo Raffaelli
Implied volatility is at the very core of modern finance, notwithstanding standard option pricing models continue to derive option prices starting from the joint dynamics of the un…
No arbitrage SVI
Claude Martini, Arianna Mingone
We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by Gatheral in 2004. The main ingredient is an intermediary characte…
Dynamics of symmetric SSVI smiles and implied volatility bubbles
Mehdi El Amrani, Antoine Jacquier, Claude Martini
We develop a dynamic version of the SSVI parameterisation for the total implied variance, ensuring that European vanilla option prices are martingales, hence preventing the occurre…