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Farshid Mehrdoust
Farshid Mehrdoust
Professor of Computer Science and Applied Mathematics, University of Guilan
Overená e-mailová adresa na: guilan.ac.ir - Domovská stránka
Názov
Citované v
Citované v
Rok
Mixed fractional Heston model and the pricing of American options
F Mehrdoust, AR Najafi, S Fallah, O Samimi
Journal of Computational and Applied Mathematics 330, 141-154, 2018
362018
Uncertain energy model for electricity and gas futures with application in spark-spread option price
F Mehrdoust, I Noorani, W Xu
Fuzzy Optimization and Decision Making 22 (1), 123-148, 2023
342023
Valuation of European option under uncertain volatility model
S Hassanzadeh, F Mehrdoust
Soft Computing 22, 4153-4163, 2018
272018
A new hybrid Monte Carlo simulation for Asian options pricing
F Mehrdoust
Journal of Statistical Computation and Simulation 85 (3), 507-516, 2015
262015
CVaR Robust Mean‐CVaR Portfolio Optimization
M Salahi, F Mehrdoust, F Piri
International Scholarly Research Notices 2013 (1), 570950, 2013
262013
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
AR Najafi, F Mehrdoust
Journal of Computational and Applied Mathematics 319, 108-116, 2017
252017
On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option
S Fallah, F Mehrdoust
Journal of Computational and Applied Mathematics 350, 412-422, 2019
232019
Pricing European options under fractional Black–Scholes model with a weak payoff function
F Mehrdoust, AR Najafi
Computational economics 52, 685-706, 2018
222018
Adjusted robust mean-value-at-risk model: less conservative robust portfolios
S Lotfi, M Salahi, F Mehrdoust
Optimization and Engineering 18 (2), 467-497, 2017
222017
LSM algorithm for pricing American option under Heston–Hull–White’s stochastic volatility model
O Samimi, Z Mardani, S Sharafpour, F Mehrdoust
Computational Economics 50, 173-187, 2017
212017
Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
F Mehrdoust, N Saber
Journal of Statistical Computation and Simulation 85 (18), 3811-3819, 2015
212015
Block-pulse operational matrix method for solving fractional Black-Scholes equation
F Mehrdoust, AH Refahi Sheikhani, M Mashoof, S Hasanzadeh
Journal of economic studies 44 (3), 489-502, 2017
202017
Efficient Monte Carlo option pricing under CEV model
F Mehrdoust, S Babaei, S Fallah
Communications in Statistics-Simulation and Computation 46 (3), 2254-2266, 2017
192017
European option pricing under multifactor uncertain volatility model
S Hassanzadeh, F Mehrdoust
Soft Computing 24, 8781-8792, 2020
172020
Parameter estimation of uncertain differential equation by implementing an optimized artificial neural network
I Noorani, F Mehrdoust
Chaos, Solitons & Fractals 165, 112769, 2022
162022
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
I Noorani, F Mehrdoust, A Nasroallah
Mathematics and Computers in Simulation 181, 1-15, 2021
162021
A fractional version of the Heston model with Hurst parameter H∈(1/2, 1)
E Lépinette, F Mehrdoust
Available at SSRN 2884010, 2016
162016
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
F Mehrdoust, I Noorani
Mathematics and Financial Economics 15, 501-543, 2021
142021
Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost
AR Najafi, F Mehrdoust, S Shirinpour
Communications in Statistics-Simulation and Computation 47 (3), 864-870, 2018
142018
Portfolio selection problem using CVaR risk measures equipped with DEA, PSO, and ICA algorithms
A Hamdi, A Karimi, F Mehrdoust, SB Belhaouari
Mathematics 10 (15), 2808, 2022
132022
Systém momentálne nemôže vykonať operáciu. Skúste to neskôr.
Články 1–20