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
36 2018 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
23 2019 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
19 2017 American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis S Fallah, F Mehrdoust
Journal of Statistical Computation and Simulation 89 (7), 1322-1339, 2019
12 2019 On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions F Mehrdoust, S Fallah
Communications in Statistics-Simulation and Computation 51 (11), 6332-6351, 2022
11 2022 A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index S Fallah, AR Najafi, F Mehrdoust
Communications in Statistics-Theory and Methods 48 (9), 2254-2266, 2019
8 2019 CEV model equipped with the long-memory S Fallah, F Mehrdoust
Journal of Computational and Applied Mathematics 389, 113359, 2021
5 2021 Markov regime-switching Heston model with CIR model framework and pricing VIX and S&P500 American put options F Mehrdoust, I Noorani, S Fallah
Mathematical Reports 24 (74), 781-806, 2022
4 2022 Pricing multi-asset American option under Heston-CIR diffusion model with jumps F Mehrdoust, S Fallah, O Samimi
Communications in Statistics-Simulation and Computation 50 (11), 3182-3193, 2021
4 2021 Long memory version of stochastic volatility jump-diffusion model with stochastic intensity F Mehrdoust, S Fallah
Estudios de economía aplicada 38 (2), 9, 2020
3 2020 A study of American options under stochastic volatility and double exponential jumps S Fallah, F Mehrdoust
Journal of Mathematical Modeling 13 (3), 467-484, 2025
2025 Long memory version of stochastic volatility jump-diffusion model with stochastic intensity S Fallah, F Mehrdoust
Studies of Applied Economics 38 (2), 2020
2020 