Similar Search Results

An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options

Mehrdoust, Farshid; Noorani, Idin - In: Annals of financial economics 15 (2020) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012642935

Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching

Mehrdoust, Farshid; Noorani, Idin - In: International journal of financial engineering 6 (2019) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012167493

Implied higher order moments in the Heston model : a case study of S&P 500 index

Mehrdoust, Farshid; Noorani, Idin - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 477-504

Persistent link: https://www.econbiz.de/10014443752

Uncertain energy model for electricity and gas futures with application in spark-spread option price

Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148

Persistent link: https://www.econbiz.de/10014227971

Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes

Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853

Persistent link: https://www.econbiz.de/10014228463

A computational approach to financial option pricing using quasi Monte Carlo methods via variance reduction techniques

Mehrdoust, Farshid; Vajargah, Kianoush Fathi - In: Journal of mathematical finance 2 (2012) 2, pp. 195-198

Persistent link: https://www.econbiz.de/10009719240

Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model

Najaf, Ali Reza - 2018

This paper derives bid and ask formulas for cap and floor contracts by using Wang trans-form under fractional version of the Vasicek interest rate model. To do this, first the parametersof the model are estimated by MLE calibration method, then standard and fractional versionof the Vasicek model...

Persistent link: https://www.econbiz.de/10012910501

Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity

Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120

Persistent link: https://www.econbiz.de/10012616833

Bid and ask spreads for the cap and floor contracts under the Liouville fractional Vasicek model

Najafi, Ali Reza; Mehrdoust, Farshid; Samimi, Hossein - In: Estudios de economía aplicada : revista promovida por … 39 (2021) 2, pp. 467-479

Persistent link: https://www.econbiz.de/10012814140

Pricing European options under fractional black-scholes model with a weak payoff function

Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706

Persistent link: https://www.econbiz.de/10012053023