Analytical valuation of nonlinear payoff volatility derivatives with discrete sampling under a mixed fractional geometric Brownian motion model

Communications in Nonlinear Science and Numerical Simulation 2026

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Authors: Sanae Rujivan
DOI: 10.1016/j.cnsns.2025.109626
Cited by: 1
References: 37

Fields of Study & Subjects

Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Publication details

Journal / source
Communications in Nonlinear Science and Numerical Simulation
Publisher
Elsevier BV
Volume
156
Pages
109626–109626
Publication date
10 January 2026
Language
EN