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"Valuation of volatility derivatives with time-varying volatility: An ..."
Sanae Rujivan (2023)
- Sanae Rujivan:
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. J. Comput. Appl. Math. 418: 114672 (2023)
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