Udomsak Rakwongwan

Publication Activity (10 Years)

Years Active: 2021-2023
Publications (10 Years): 3

Top Topics

Autoregressive Conditional Heteroscedasticity

Affine Transform

Financial Markets

Top Venues

Commun. Nonlinear Sci. Numer. Simul.

Publications

Pornnapat Yamphram, Phiraphat Sutthimat, Udomsak Rakwongwan
Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets. Comput. 11 (2) (2023)
Ampol Duangpan, Ratinan Boonklurb, Udomsak Rakwongwan, Phiraphat Sutthimat
Analytical Formulas Using Affine Transformation for Pricing Generalized Swaps in Commodity Markets with Stochastic Convenience Yields. Symmetry 14 (11) (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)