"Analytically pricing volatility options and capped/floored volatility ..."

Sanae Rujivan (2025)

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DOI: 10.1016/J.AMC.2024.129029

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type: Journal Article

metadata version: 2024-09-08

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Sanae Rujivan:
Analytically pricing volatility options and capped/floored volatility swaps with nonlinear payoffs in discrete observation case under the Merton jump-diffusion model driven by a nonhomogeneous Poisson process. Appl. Math. Comput. 486: 129029 (2025)

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