Farshid Mehrdoust

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 23

Top Topics

Learning Algorithm

Top Venues

J. Comput. Appl. Math.

Commun. Stat. Simul. Comput.

Math. Comput. Simul.

Publications

Oldouz Samimi, Farshid Mehrdoust
Vasicek interest rate model under Lévy process and pricing bond option. Commun. Stat. Simul. Comput. 53 (1) (2024)
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 (2024)
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 (2024)
Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi
Parameter estimation of uncertain stock model using residual method optimized by genetic algorithm: valuation of vulnerable European and barrier options. Soft Comput. 28 (13-14) (2024)
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 (2023)
Farshid Mehrdoust, Idin Noorani, Samir Brahim Belhaouari
Forecasting Nordic electricity spot price using deep learning networks. Neural Comput. Appl. 35 (26) (2023)
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) (2023)
Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando, Oldouz Samimi
Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. Appl. Math. Comput. 446 (2023)
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)
Farshid Mehrdoust, Somayeh Fallah
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. Commun. Stat. Simul. Comput. 51 (11) (2022)
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) (2021)
Somayeh Fallah, Farshid Mehrdoust
CEV model equipped with the long-memory. J. Comput. Appl. Math. 389 (2021)
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 (2021)
Farshid Mehrdoust, Somayeh Fallah, Oldouz Samimi
Pricing multi-asset American option under Heston-CIR diffusion model with jumps. Commun. Stat. Simul. Comput. 50 (11) (2021)
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 (2021)
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 (2020)
Sabahat Hassanzadeh, Farshid Mehrdoust
European option pricing under multifactor uncertain volatility model. Soft Comput. 24 (12) (2020)
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 (2019)
Sabahat Hassanzadeh, Farshid Mehrdoust
Valuation of European option under uncertain volatility model. Soft Comput. 22 (12) (2018)
Farshid Mehrdoust, Ali Reza Najafi, Somayeh Fallah, Oldouz Samimi
Mixed fractional Heston model and the pricing of American options. J. Comput. Appl. Math. 330 (2018)
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) (2018)
Ali Reza Najafi, Farshid Mehrdoust
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process. J. Comput. Appl. Math. 319 (2017)
Farshid Mehrdoust, S. Babaei, Somayeh Fallah
Efficient Monte Carlo option pricing under CEV model. Commun. Stat. Simul. Comput. 46 (3) (2017)
Hossein Aminikhah, Farshid Mehrdoust, Ali Jamalian
A New Efficient Method for Nonlinear Fisher-Type Equations. J. Appl. Math. 2012 (2012)
Behrouz Fathi Vajargah, Farshid Mehrdoust
Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair. Comput. Sci. J. Moldova 18 (3) (2011)
Behrouz Fathi Vajargah, Farshid Mehrdoust
New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue. Int. J. Comput. Math. 88 (12) (2011)
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 (2011)