Udomsak Rakwongwan
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Person:2025469
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Reversibility of the CIR process under state-dependent sampling International Journal of Mathematics and Computer Science | 2026-01-01 | Paper |
| Probabilistic closed-form formulas for pricing nonlinear payoff variance and volatility derivatives under Schwartz model with time-varying log-return volatility (available as arXiv preprint) | 2025-01-01 | Paper |
| Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process Research in the Mathematical Sciences | 2022-01-25 | Paper |
| Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives Communications in Nonlinear Science and Numerical Simulation | 2021-05-14 | Paper |
| Pricing index options by static hedging under finite liquidity International Journal of Theoretical and Applied Finance | 2018-10-10 | Paper |
Research outcomes over time
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