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

Autor:	Sanae Rujivan
Rok vydání:	2023
Předmět:	Computational Mathematics Applied Mathematics
Zdroj:	Journal of Computational and Applied Mathematics. 418:114672
ISSN:	0377-0427
DOI:	10.1016/j.cam.2022.114672
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::767a83522a0b99d7e39b15cfb5855140 https://doi.org/10.1016/j.cam.2022.114672 Zobrazit plný text záznamu Full Text from ScienceDirect