Farshid Mehrdoust

According to our database, Farshid Mehrdoust authored at least 27 papers between 2011 and 2024.

Collaborative distances:

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

2024

Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market.

Farshid Mehrdoust, Idin Noorani, Juho Kanniainen

Math. Comput. Simul., January, 2024

Vasicek interest rate model under Lévy process and pricing bond option.

Oldouz Samimi, Farshid Mehrdoust

Commun. Stat. Simul. Comput., January, 2024

2023

Forecasting Nordic electricity spot price using deep learning networks.

Farshid Mehrdoust, Idin Noorani, Samir Brahim Belhaouari

Neural Comput. Appl., September, 2023

Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework.

Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando, Oldouz Samimi

Appl. Math. Comput., June, 2023

Uncertain energy model for electricity and gas futures with application in spark-spread option price.

Farshid Mehrdoust, Idin Noorani, Wei Xu

Fuzzy Optim. Decis. Mak., March, 2023

Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm.

Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi

Math. Comput. Simul., 2023

2022

Lookback option pricing under the double Heston model using a deep learning algorithm.

Mahsa Motameni, Farshid Mehrdoust, Ali Reza Najafi

Comput. Appl. Math., December, 2022

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions.

Farshid Mehrdoust, Somayeh Fallah

Commun. Stat. Simul. Comput., 2022

2021

Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region.

Idin Noorani, Farshid Mehrdoust, Waichon Lio

Soft Comput., 2021

A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model.

Idin Noorani, Farshid Mehrdoust, Abdelaziz Nasroallah

Math. Comput. Simul., 2021

Calibration of the double Heston model and an analytical formula in pricing American put option.

Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi

J. Comput. Appl. Math., 2021

CEV model equipped with the long-memory.

Somayeh Fallah, Farshid Mehrdoust

J. Comput. Appl. Math., 2021

Pricing multi-asset American option under Heston-CIR diffusion model with jumps.

Farshid Mehrdoust, Somayeh Fallah, Oldouz Samimi

Commun. Stat. Simul. Comput., 2021

2020

European option pricing under multifactor uncertain volatility model.

Sabahat Hassanzadeh, Farshid Mehrdoust

Soft Comput., 2020

A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds.

Farshid Mehrdoust, Ali Reza Najafi

J. Comput. Appl. Math., 2020

2019

On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option.

Somayeh Fallah, Farshid Mehrdoust

J. Comput. Appl. Math., 2019

2018

Markov Chain Monte Carlo Model.

Farshid Mehrdoust

Proceedings of the Encyclopedia of Social Network Analysis and Mining, 2nd Edition, 2018

Valuation of European option under uncertain volatility model.

Sabahat Hassanzadeh, Farshid Mehrdoust

Soft Comput., 2018

Mixed fractional Heston model and the pricing of American options.

Farshid Mehrdoust, Ali Reza Najafi, Somayeh Fallah, Oldouz Samimi

J. Comput. Appl. Math., 2018

Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost.

Ali Reza Najafi, Farshid Mehrdoust, Shima Shirinpour

Commun. Stat. Simul. Comput., 2018

2017

Bond pricing under mixed generalized CIR model with mixed Wishart volatility process.

Ali Reza Najafi, Farshid Mehrdoust

J. Comput. Appl. Math., 2017

Efficient Monte Carlo option pricing under CEV model.

Farshid Mehrdoust, S. Babaei, Somayeh Fallah

Commun. Stat. Simul. Comput., 2017

2014

Markov Chain Monte Carlo Model.

Farshid Mehrdoust

Encyclopedia of Social Network Analysis and Mining, 2014

2012

A New Efficient Method for Nonlinear Fisher-Type Equations.

Hossein Aminikhah, Farshid Mehrdoust, Ali Jamalian

J. Appl. Math., 2012

2011

New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue.

Behrouz Fathi Vajargah, Farshid Mehrdoust

Int. J. Comput. Math., 2011

Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair.

Behrouz Fathi Vajargah, Farshid Mehrdoust

Comput. Sci. J. Moldova, 2011

Partitioning Inverse Monte Carlo Iterative Algorithm for Finding the Three Smallest Eigenpairs of Generalized Eigenvalue Problem.

Behrouz Fathi Vajargah, Farshid Mehrdoust

Adv. Numer. Anal., 2011