Sanae Rujivan

Publication Activity (10 Years)

Years Active: 2012-2023
Publications (10 Years): 4

Top Topics

Iterative Procedure

Mixture Distribution

Top Venues

J. Comput. Appl. Math.

Appl. Math. Comput.

Commun. Nonlinear Sci. Numer. Simul.

Publications

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 (2023)
Phiraphat Sutthimat, Khamron Mekchay, Sanae Rujivan
Closed-form formula for conditional moments of generalized nonlinear drift CEV process. Appl. Math. Comput. 428 (2022)
Sanae Rujivan, Udomsak Rakwongwan
Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives. Commun. Nonlinear Sci. Numer. Simul. 100 (2021)
Sanae Rujivan
A closed-form formula for the conditional moments of the extended CIR process. J. Comput. Appl. Math. 297 (2016)
Sanae Rujivan, Song-Ping Zhu
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. Appl. Math. Lett. 25 (11) (2012)