Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
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Publication:2025470
DOI10.1016/j.cnsns.2021.105849zbMath1464.91073MaRDI 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
91G20: Derivative securities (option pricing, hedging, etc.)
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