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Farshid Mehrdoust
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2020 – today
- 2024
- [j26]Oldouz Samimi, Farshid Mehrdoust:
Vasicek interest rate model under Lévy process and pricing bond option. Commun. Stat. Simul. Comput. 53(1): 529-545 (2024) - [j25]Jinwu Gao, Ruru Jia, Idin Noorani, Farshid Mehrdoust:
Calibration of European option pricing model in uncertain environment: Valuation of uncertainty implied volatility. J. Comput. Appl. Math. 447: 115890 (2024) - [j24]Farshid Mehrdoust, Idin Noorani, Juho Kanniainen
:
Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. Math. Comput. Simul. 215: 228-269 (2024) - 2023
- [j23]Giacomo Ascione
, Farshid Mehrdoust, Giuseppe Orlando
, Oldouz Samimi:
Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. Appl. Math. Comput. 446: 127851 (2023) - [j22]Farshid Mehrdoust, Idin Noorani, Wei Xu:
Uncertain energy model for electricity and gas futures with application in spark-spread option price. Fuzzy Optim. Decis. Mak. 22(1): 123-148 (2023) - [j21]Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi
:
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm. Math. Comput. Simul. 204: 660-678 (2023) - [j20]Farshid Mehrdoust, Idin Noorani, Samir Brahim Belhaouari:
Forecasting Nordic electricity spot price using deep learning networks. Neural Comput. Appl. 35(26): 19169-19185 (2023) - 2022
- [j19]Mahsa Motameni, Farshid Mehrdoust, Ali Reza Najafi
:
Lookback option pricing under the double Heston model using a deep learning algorithm. Comput. Appl. Math. 41(8) (2022) - [j18]Farshid Mehrdoust, Somayeh Fallah:
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. Commun. Stat. Simul. Comput. 51(11): 6332-6351 (2022) - 2021
- [j17]Farshid Mehrdoust, Somayeh Fallah, Oldouz Samimi:
Pricing multi-asset American option under Heston-CIR diffusion model with jumps. Commun. Stat. Simul. Comput. 50(11): 3182-3193 (2021) - [j16]Somayeh Fallah, Farshid Mehrdoust:
CEV model equipped with the long-memory. J. Comput. Appl. Math. 389: 113359 (2021) - [j15]Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi:
Calibration of the double Heston model and an analytical formula in pricing American put option. J. Comput. Appl. Math. 392: 113422 (2021) - [j14]Idin Noorani, Farshid Mehrdoust, Abdelaziz Nasroallah:
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. Math. Comput. Simul. 181: 1-15 (2021) - [j13]Idin Noorani, Farshid Mehrdoust
, Waichon Lio:
Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region. Soft Comput. 25(21): 13105-13126 (2021) - 2020
- [j12]Farshid Mehrdoust, Ali Reza Najafi
:
A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds. J. Comput. Appl. Math. 375: 112796 (2020) - [j11]Sabahat Hassanzadeh
, Farshid Mehrdoust:
European option pricing under multifactor uncertain volatility model. Soft Comput. 24(12): 8781-8792 (2020)
2010 – 2019
- 2019
- [j10]Somayeh Fallah, Farshid Mehrdoust:
On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option. J. Comput. Appl. Math. 350: 412-422 (2019) - 2018
- [j9]Ali Reza Najafi
, Farshid Mehrdoust, Shima Shirinpour:
Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost. Commun. Stat. Simul. Comput. 47(3): 864-870 (2018) - [j8]Farshid Mehrdoust, Ali Reza Najafi
, Somayeh Fallah, Oldouz Samimi:
Mixed fractional Heston model and the pricing of American options. J. Comput. Appl. Math. 330: 141-154 (2018) - [j7]Sabahat Hassanzadeh, Farshid Mehrdoust:
Valuation of European option under uncertain volatility model. Soft Comput. 22(12): 4153-4163 (2018) - [r2]Farshid Mehrdoust:
Markov Chain Monte Carlo Model. Encyclopedia of Social Network Analysis and Mining. 2nd Ed. 2018 - 2017
- [j6]Farshid Mehrdoust, S. Babaei, Somayeh Fallah:
Efficient Monte Carlo option pricing under CEV model. Commun. Stat. Simul. Comput. 46(3): 2254-2266 (2017) - [j5]Ali Reza Najafi
, Farshid Mehrdoust:
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process. J. Comput. Appl. Math. 319: 108-116 (2017) - 2014
- [r1]Farshid Mehrdoust:
Markov Chain Monte Carlo Model. Encyclopedia of Social Network Analysis and Mining 2014: 857-870 - 2012
- [j4]Hossein Aminikhah
, Farshid Mehrdoust, Ali Jamalian
:
A New Efficient Method for Nonlinear Fisher-Type Equations. J. Appl. Math. 2012: 586454:1-586454:18 (2012) - 2011
- [j3]Behrouz Fathi Vajargah, Farshid Mehrdoust:
Partitioning Inverse Monte Carlo Iterative Algorithm for Finding the Three Smallest Eigenpairs of Generalized Eigenvalue Problem. Adv. Numer. Anal. 2011: 826376:1-826376:9 (2011) - [j2]Behrouz Fathi Vajargah, Farshid Mehrdoust:
Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair. Comput. Sci. J. Moldova 18(3): 355-366 (2011) - [j1]Behrouz Fathi Vajargah, Farshid Mehrdoust:
New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue. Int. J. Comput. Math. 88(12): 2567-2574 (2011)
Coauthor Index
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last updated on 2024-08-11 00:12 CEST by the dblp team
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