Sanae Rujivan

According to our database, Sanae Rujivan authored at least 7 papers between 2012 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

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

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

2023

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

2022

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

Phiraphat Sutthimat, Khamron Mekchay, Sanae Rujivan

Appl. Math. Comput., 2022

2021

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

Sanae Rujivan, Udomsak Rakwongwan

Commun. Nonlinear Sci. Numer. Simul., 2021

2016

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

Sanae Rujivan

J. Comput. Appl. Math., 2016

2012

A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility.

Sanae Rujivan, Song-Ping Zhu

Appl. Math. Lett., 2012