Ali Foroush Bastani

According to our database, Ali Foroush Bastani authored at least 13 papers between 2012 and 2021.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2021

A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes.

Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani

J. Comput. Appl. Math., 2021

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.

Davood Damircheli, Seyed-Mohammad-Mahdi Kazemi, Ali Foroush Bastani

CoRR, 2021

2020

Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation.

Maryam Vahid Dastgerdi, Ali Foroush Bastani

SIAM J. Financial Math., 2020

A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes.

Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani

J. Comput. Appl. Math., 2020

On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation.

Mohammad Shirzadi, Mehdi Dehghan, Ali Foroush Bastani

Commun. Nonlinear Sci. Numer. Simul., 2020

2019

Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise.

M. Malzoumati-Khiaban, Ali Foroush Bastani, M. R. Yaghouti

Numer. Algorithms, 2019

2018

On a new family of radial basis functions: Mathematical analysis and applications to option pricing.

Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani

J. Comput. Appl. Math., 2018

On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models.

Ali Foroush Bastani, Maryam Vahid Dastgerdi, Abolfazl Mighani

Commun. Nonlinear Sci. Numer. Simul., 2018

2017

An adaptive algorithm for solving stochastic multi-point boundary value problems.

Ali Foroush Bastani, Davood Damircheli

Numer. Algorithms, 2017

Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry.

Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani

J. Comput. Appl. Math., 2017

2015

Erratum to: An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations.

Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani

Numer. Algorithms, 2015

An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations.

Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani

Numer. Algorithms, 2015

2012

Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift.

Ali Foroush Bastani, Mahdieh Tahmasebi

J. Comput. Appl. Math., 2012