A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. - Sanae Rujivan; Song-Ping Zhu (Appl. Math. Lett., 2012)

A closed-form formula for the conditional moments of the extended CIR process. - Sanae Rujivan (J. Comput. Appl. Math., 2016)

Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives. - Sanae Rujivan; Udomsak Rakwongwan (Commun. Nonlinear Sci. Numer. Simul., 2021)

Closed-form formula for conditional moments of generalized nonlinear drift CEV process. - Phiraphat Sutthimat; Khamron Mekchay; Sanae Rujivan (Appl. Math. Comput., 2022)

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)

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. - Sanae Rujivan (Appl. Math. Comput., 2025)

Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching: Hybrid PDE system solutions with financial applications. - Sanae Rujivan; Nopporn Thamrongrat; Parun Juntanon; Boualem Djehiche (Math. Comput. Simul., 2025)