Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Ali Safdari-Vaighani"'
Autor:
Ali Safdari-Vaighani, Pooya Garshasebi
Publikováno v:
Mathematics and Modeling in Finance, Vol 3, Iss 1, Pp 137-143 (2023)
The financial markets reveal stylized facts that could not be captured by Black-Scholes partial differential equations (PDEs). In this research, we investigate 3/2 stochastic volatility to pricing options which is more compatible with the interpretat
Externí odkaz:
https://doaj.org/article/52135bfc918c477f8706d1ac02ce1d46
Publikováno v:
Computational Economics. 57:1373-1385
Option pricing under continuous-time CAPM has been formulated by partial differential equation, which is an extension of the Black–Scholes PDE. The focus of this paper is to present the radial basis function partition of unity method for evaluation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b861fe2fd5609bbe27c1ca8587e77012
https://doi.org/10.1007/s10614-020-10024-2
https://doi.org/10.1007/s10614-020-10024-2
Autor:
Mohammad Hossein Pourkazemi, Matin Sadat Borghei, Teymour Mohammadi, Ali Safdari-Vaighani, Jeffrey S. Scroggs, Behnam Aminrostamkolaee
Publikováno v:
Resources Policy. 52:296-307
One of the goals presented here is the use of a radial basis function (RBF) method to approximate the numerical values of a gold mining project. RBFs have many attractive features compared to implicit finite differences method (FDM) and explicit FDM.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e350d288d17c80eedd10bf3f0ce741d3
https://doi.org/10.1016/j.resourpol.2017.04.004
https://doi.org/10.1016/j.resourpol.2017.04.004
Autor:
Ali Safdari-Vaighani
Publikováno v:
Lecture Notes in Computational Science and Engineering ISBN: 9783319964140
Option contracts under actual market conditions which are more complex than a simple Black-Scholes model are important hedging strategies in the modern financial market. Basket options are attractive products which required the reliable pricing metho
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06999dd9e164fcea0f10d3568eefd086
https://doi.org/10.1007/978-3-319-96415-7_7
https://doi.org/10.1007/978-3-319-96415-7_7
Autor:
Mohammad Pourkazemi, Mahdiye Rostamkhani, Abbas Shakeri, Behnam Aminrostamkolaee, Teymour Mohammadi, Ali Safdari-Vaighani, Mohammad Hossein Ghaemi, Matin Sadat Borghei
Publikováno v:
International Journal of Oil, Gas and Coal Technology. 26:97
This paper uses real options for evaluation of a hypothetical oil field under uncertainties. We have supposed that this oil field is located in Saudi Arabia. Our evaluation includes uncertainties of oil price and exchange rate. The analysis is done b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15434d65a519e82b627312b905e90800
https://doi.org/10.1504/ijogct.2021.10035076
https://doi.org/10.1504/ijogct.2021.10035076
Publikováno v:
Applied Mathematics and Computation. 366:124693
In this paper, we consider illiquid European call option which is arisen in nonlinear Black–Scholes equation. In this respect, we apply the Newton’s method to linearize it. Based on the obtained linear equation, we obtain the approximate solution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3478c37a3a56d400af9bce2589ce8e0b
https://doi.org/10.1016/j.amc.2019.124693
https://doi.org/10.1016/j.amc.2019.124693
Autor:
Ali Mahzarnia, Ali Safdari-Vaighani
Publikováno v:
Engineering Analysis with Boundary Elements. 58:112-118
Recently, real options have gained more importance in computational finance studies. It has already been shown that the compound option pricing can be formulated as a two-pass boundary PDE arising from Black–Scholes model. Radial basis function (RB
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c76e2495d73e2d321bcbbbc8f029f4a
https://doi.org/10.1016/j.enganabound.2015.03.009
https://doi.org/10.1016/j.enganabound.2015.03.009
Meshfree methods based on radial basis function (RBF) approximation are of interest for numerical solution of partial differential equations because they are flexible with respect to the geometry of the computational domain, they can provide high ord
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::17f5272c21cc8cad7fa93a3a8447f9bf
http://arxiv.org/abs/1705.05737
http://arxiv.org/abs/1705.05737
Autor:
Ali Safdari-Vaighani
Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3dec3bb63f2ac2b560a3135cd3a62f6
Meshfree methods based on radial basis function (RBF) approximation are of interest for numerical solution of partial differential equations (PDEs) because they are flexible with respect to geometry, they can provide high order convergence, they allo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c33a414eab17765b957fa0f055d4ea7
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-234945
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-234945