Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives

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

zbMATH Keywords

volatility swaps; discrete sampling; analytical pricing formula0,3; volatility options

Mathematics Subject Classification ID

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

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