Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
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Publication:2025470
DOI10.1016/j.cnsns.2021.105849zbMath1464.91073OpenAlexW3155694684MaRDI QIDQ2025470
Udomsak Rakwongwan, Sanae Rujivan
Publication date: 14 May 2021
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.105849
Related Items (4)
AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Unnamed Item ⋮ Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process ⋮ Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case
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