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Block-pulse operational matrix method for solving fractional Black-Scholes equation

Mehrdoust, Farshid; Refahi Sheikhani, Amir Hosein; … - In: Journal of Economic Studies 44 (2017) 3, pp. 489-502

Purpose The purpose of this paper is to evaluate a European option using the fractional version of the Black-Scholes model. Design/methodology/approach In this paper, the authors employ the block-pulse operational matrix algorithm to approximate the solution of the fractional Black-Scholes...

Persistent link: https://www.econbiz.de/10014864247

Predicting business processes of the social insurance using recurrent neural network and Markov chain

PellehShahi, Mehrdad Fadaei; Kordrostami, Sohrab; … - In: Journal of modelling in management 17 (2022) 3, pp. 941-963

Persistent link: https://www.econbiz.de/10013362676

Diagnosis of heart disease using an advanced triple hybrid algorithm combining machine learning techniques

Mostofi, Shokoofa; Sheikhani, Amir Hosein Refahi; … - 2025

Persistent link: https://www.econbiz.de/10015373017

Pricing multi-asset American option under Heston stochastic volatility model

Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011923057

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

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

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

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

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