2 papers
q-fin.MF2026
Analytical Formula for Fractional-Order Conditional Moments of Nonlinear Drift CEV Process with Regime Switching: Hybrid Approach with Applications
Kittisak Chumpong, Khamron Mekchay, Fukiat Nualsri +1
This paper introduces an analytical formula for the fractional-order conditional moments of nonlinear drift constant elasticity of variance (NLD-CEV) processes under regime switchi…
math.ST2025
Probabilistic closed-form formulas for pricing nonlinear payoff variance and volatility derivatives under Schwartz model with time-varying log-return volatility
Nontawat Bunchak, Udomsak Rakwongwan, Phiraphat Sutthimat
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based o…