Efficient Monte Carlo option pricing under CEV model. - Farshid Mehrdoust; S. Babaei; Somayeh Fallah (Commun. Stat. Simul. Comput., 2017)

Mixed fractional Heston model and the pricing of American options. - Farshid Mehrdoust; Ali Reza Najafi; Somayeh Fallah; Oldouz Samimi (J. Comput. Appl. Math., 2018)

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)

Pricing multi-asset American option under Heston-CIR diffusion model with jumps. - Farshid Mehrdoust; Somayeh Fallah; Oldouz Samimi (Commun. Stat. Simul. Comput., 2021)

CEV model equipped with the long-memory. - Somayeh Fallah; Farshid Mehrdoust (J. Comput. Appl. Math., 2021)

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. - Farshid Mehrdoust; Somayeh Fallah (Commun. Stat. Simul. Comput., 2022)