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

DOI10.1016/j.cam.2022.114672zbMath1500.91140OpenAlexW4291781619MaRDI QIDQ2088813

Sanae Rujivan

Publication date: 6 October 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114672

zbMATH Keywords

mixture distributionvolatility swapsdiscrete samplingtime-varying volatilityanalytical pricing formulavolatility options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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