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Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives.
Sanae Rujivan
Udomsak Rakwongwan
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2021)
Keyphrases
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stock price
stock market
financial markets
option pricing
garch model
stock trading
turning points
stock index futures
chinese stock market
stock returns
autoregressive conditional heteroscedasticity
exchange rate
non stationary
financial time series
sampling algorithm
news articles
monte carlo