Somayeh Fallah

Publication Activity (10 Years)

Years Active: 2017-2022
Publications (10 Years): 6

Top Topics

Laplace Transform

Statistical Model

Sensitivity Analysis

Top Venues

J. Comput. Appl. Math.

Commun. Stat. Simul. Comput.

Publications

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)
Somayeh Fallah, Farshid Mehrdoust
CEV model equipped with the long-memory. J. Comput. Appl. Math. 389 (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)
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)
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)
Farshid Mehrdoust, S. Babaei, Somayeh Fallah
Efficient Monte Carlo option pricing under CEV model. Commun. Stat. Simul. Comput. 46 (3) (2017)