Sanae Rujivan

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

Sanae Rujivan · Journal of Computational and Applied Mathematics · 2015 · 23 citations

Engineering, Risk Management, Probability Theory +9

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

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

Phiraphat Sutthimat, Khamron Mekchay, Sanae Rujivan · Applied Mathematics and Computation · 2022 · 14 citations

Engineering, Mathematics, Probability Theory +13

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

Explicit Formula for Conditional Expectations of Product of Polynomial and Exponential Function of Affine Transform of Extended Cox-Ingersoll-Ross Process

Phiraphat Sutthimat, Khamron Mekchay, Sanae Rujivan · Journal of Physics Conference Series · 2018 · 11 citations · Full text

Engineering, Industrial Engineering, Probability Theory +9