Ali Foroush Bastani

Publication Activity (10 Years)

Years Active: 2012-2021
Publications (10 Years): 12

Top Topics

Black Scholes Model

Radial Basis Function

Numerical Integration

Top Venues

J. Comput. Appl. Math.

Numer. Algorithms

Commun. Nonlinear Sci. Numer. Simul.

Publications

Z. Ahmadi, S. Mohammad Hosseini, Ali Foroush Bastani
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. J. Comput. Appl. Math. 383 (2021)
Davood Damircheli, Seyed-Mohammad-Mahdi Kazemi, Ali Foroush Bastani
On Numerical Solution of Structural model for the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable Lévy Model with Desingularized Meshfree Collocation method. CoRR (2021)
Mohammad Shirzadi, Mehdi Dehghan, Ali Foroush Bastani
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation. Commun. Nonlinear Sci. Numer. Simul. 84 (2020)
Z. Ahmadi, S. Mohammad Hosseini, Ali Foroush Bastani
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes. J. Comput. Appl. Math. 363 (2020)
Maryam Vahid Dastgerdi, Ali Foroush Bastani
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation. SIAM J. Financial Math. 11 (4) (2020)
M. Malzoumati-Khiaban, Ali Foroush Bastani, M. R. Yaghouti
Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise. Numer. Algorithms 80 (3) (2019)
Ali Foroush Bastani, Maryam Vahid Dastgerdi, Abolfazl Mighani
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models. Commun. Nonlinear Sci. Numer. Simul. 59 (2018)
Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani
On a new family of radial basis functions: Mathematical analysis and applications to option pricing. J. Comput. Appl. Math. 328 (2018)
Ali Foroush Bastani, Davood Damircheli
An adaptive algorithm for solving stochastic multi-point boundary value problems. Numer. Algorithms 74 (4) (2017)
Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani
Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry. J. Comput. Appl. Math. 311 (2017)
Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani
An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations. Numer. Algorithms 69 (1) (2015)
Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani
Erratum to: An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations. Numer. Algorithms 69 (2) (2015)
Ali Foroush Bastani, Mahdieh Tahmasebi
Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift. J. Comput. Appl. Math. 236 (7) (2012)