Udomsak Rakwongwan

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

Sanae Rujivan, Udomsak Rakwongwan · Communications in Nonlinear Science and Numerical Simulation · 2021 · 22 citations

Business, Finance, Mathematics +14

Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process

Phiraphat Sutthimat, Sanae Rujivan, Khamron Mekchay et al. · Research in the Mathematical Sciences · 2022 · 13 citations

Engineering, Biostatistics, Economics +10

A Novel Analytical Formula for the Discounted Moments of the ECIR Process and Interest Rate Swaps Pricing

Ratinan Boonklurb, Ampol Duangpan, Udomsak Rakwongwan et al. · Fractal and Fractional · 2022 · 10 citations · Full text

Business, Economics, Finance +17