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Search: person:"Noorani, Idin"
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Option pricing theory
6
Optionspreistheorie
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Derivat
3
Derivative
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Electric power industry
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Elektrizitätswirtschaft
3
Energiemarkt
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Energy market
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Option trading
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Optionsgeschäft
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Calibration
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EM algorithm
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Electricity price
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Energy markets
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Markov-Kette
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Spark-spread option
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Stochastic process
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Stochastischer Prozess
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Strompreis
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ARMA model
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ARMA-Modell
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Aktienindex
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American barrier options
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English
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Mehrdoust, Farshid
7
Noorani, Idin
7
Xu, Wei
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Annals of financial economics
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Computational economics
1
Decisions in economics and finance : a journal of applied mathematics
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Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
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International journal of financial engineering
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Mathematics and financial economics
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ECONIS (ZBW)
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Forecasting Bitcoin price by a hybrid structure based on ARIMA, SVM and LSSVM models
Noorani, Idin
;
Mehrdoust, Farshid
-
2024
Persistent link: https://www.econbiz.de/10015399424
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
Mehrdoust, Farshid
;
Noorani, Idin
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 501-543
Persistent link: https://www.econbiz.de/10012586206
Saved in:
6
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
Saved in:
7
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
Saved in:
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