Sanae Rujivan

According to our database, Sanae Rujivan authored at least 5 papers between 2012 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

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.

Sanae Rujivan

J. Comput. Appl. Math., 2023

2022

Closed-form formula for conditional moments of generalized nonlinear drift CEV process.

Phiraphat Sutthimat, Khamron Mekchay, Sanae Rujivan

Appl. Math. Comput., 2022

2021

Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives.

Sanae Rujivan, Udomsak Rakwongwan

Commun. Nonlinear Sci. Numer. Simul., 2021

2016

A closed-form formula for the conditional moments of the extended CIR process.

Sanae Rujivan

J. Comput. Appl. Math., 2016

2012

A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility.

Sanae Rujivan, Song-Ping Zhu

Appl. Math. Lett., 2012