"Valuation of volatility derivatives with time-varying volatility: An ..."

Sanae Rujivan (2023)

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DOI: 10.1016/J.CAM.2022.114672

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type: Journal Article

metadata version: 2022-10-11

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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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