Author

Angelo E. Marasigan

Institution: University of the Philippines Los Baños

Observed institution: University of the Philippines Los Baños

ORCID: 0000-0002-7446-5172

Observed ORCID: 0000-0002-7446-5172

OpenAlex ID: A5092770592

Analytical Pricing of Discretely Sampled Volatility Swaps Under the 4/2 Stochastic Volatility Model

2026 · Sanae Rujivan, Seyha Lim, et al. · Risks · 1

Analytical Pricing of Volatility-Linked Financial Derivatives Under the Sub-Mixed Fractional Brownian Motion Framework in a No-Arbitrage Complete Market

2026 · Sanae Rujivan, Touch Toem, et al. · Fractal and Fractional · 1

A New Extension of the Inverse Paralogistic Distribution using Gamma Generator with Application

2023 · Angelo E. Marasigan · Mindanao Journal of Science and Technology · 1

Nonlinear Volatility Derivatives Under Generalized Mixed Fractional Brownian Dynamics with Long-Range Dependence: Distributional Analysis and Valuation

2026 · Seyha Lim, Sanae Rujivan, et al. · Fractal and Fractional

Valuation of cross-inverse cryptocurrency options with multi-scale stochastic volatility and correlation dynamics

2026 · Angelo E. Marasigan · Review of Derivatives Research

Closed-Form Covariance Matrix for Portfolio Optimization: Theory and Empirical Evidence Under a Multidimensional Black–Scholes Model with Time-Varying Parameters

2026 · Touch Toem, Sanae Rujivan, et al. · Mathematics

Works count: 6

Citation count: 3

H-index: 1

I10-index: