"Analytically pricing volatility swaps and volatility options with discrete ..."

Sanae Rujivan, Udomsak Rakwongwan (2021)

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DOI: 10.1016/J.CNSNS.2021.105849

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type: Journal Article

metadata version: 2022-10-02

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Sanae Rujivan, Udomsak Rakwongwan:
Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives. Commun. Nonlinear Sci. Numer. Simul. 100: 105849 (2021)

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