Sanae Rujivan

Sanae Rujivan

Walailak University - Nakhon Si Thammarat / Thailand
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 4694060
มหาวิทยาลัยวลัยลักษณ์
person_outline Sanae Rujivan's MOST POPULAR ARTICLES
1-) A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatilityS Rujivan, SP ZhuApplied Mathematics Letters 25 (11), 1644-1650, 2012332012
2-) A closed-form formula for the conditional moments of the extended CIR processS RujivanJournal of Computational and Applied Mathematics 297, 75-84, 2016212016
3-) A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston modelS Rujivan, SP ZhuThe ANZIAM Journal 56 (1), 1-27, 2014172014
4-) Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivativesS Rujivan, U RakwongwanCommunications in Nonlinear Science and Numerical Simulation 100 (September …, 2021182021
5-) Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yieldsS RujivanCommunications in Mathematical Sciences 19 (1), 111-146, 2021162021