Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Ali Reza Najafi"'
Publikováno v:
Computational and Applied Mathematics. 41
Publikováno v:
Journal of Statistical Computation and Simulation. 91:2986-3004
The principal aim of this paper is to calculate the price of the European option under a skew version of the geometric Brownian motion model. To do this, we use the Leland and Kabanov strategy to r...
Publikováno v:
Decisions in Economics and Finance. 44:197-214
Short selling strategy leads to a portfolio with significantly better risk-return structure compared to the standard approach. Moreover, investors can use risk-neutral interest rate to increase the return of the portfolio. In this paper, we study the
Publikováno v:
Statistics, Optimization & Information Computing. 8:740-748
In this paper, first we present some drawbacks of the cardinality constrained mean-variance (CCMV) portfolio optimization with short selling and risk-neutral interest rate when the lower and upper bounds of the assets contributions are -1/K and 1/K(K
Autor:
Ali Reza Najafi, Farshid Mehrdoust
Publikováno v:
Bulletin of the Iranian Mathematical Society. 46:1405-1420
Assuming that the volatility process follows the uncertain Cox–Ingersoll–Ross (CIR) model, this paper presents a new version of the uncertain exponential Ornstein–Uhlenbeck interest rate model. The prices of the interest rate ceiling and the in
Publikováno v:
Studies of Applied Economics. 39
Although the future of a financial market is ambiguous and mysterious, historical data play a key role to forecast the future of the market. Along with all the advantages of these data, they may result to some errors and consequently, some losses. In
Publikováno v:
2021 52nd Annual Iranian Mathematics Conference (AIMC).
Publikováno v:
Communications in Statistics - Theory and Methods. 48:2254-2266
In this work, we study the existence and uniqueness of the solution to a fractional version of the Cox–Ingersoll–Ross (fCIR) stochastic differential equation. The strong convergence of this equatio...
Autor:
Hossein Samimi, Ali Reza Najafi
Publikováno v:
Mathematical Problems in Engineering, Vol 2021 (2021)
This paper studies the European option pricing on the zero-coupon bond in which the Skew Vasicek model uses to predict the interest rate amount. To do this, we apply the skew Brownian motion as the random part of the model and show that results of th
Publikováno v:
Sādhanā. 45
This paper considers the problem of pricing of Bermuda options on zero-coupon bond in which the dynamics of the interest rate model follows the mixed fractional Vasicek model. The strong convergence of the Euler discretization scheme for the mixed fr