Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Foad Shokrollahi"'
Autor:
Saeed Vahdati, Foad Shokrollahi
Publikováno v:
Mathematics Interdisciplinary Research, Vol 9, Iss 3, Pp 315-331 (2024)
This study investigates the application of the Haar wavelet method as an innovative and effective approach for valuing financial derivatives, particularly cash-or-nothing options. Valuing derivatives is a complex task in finance, re
Externí odkaz:
https://doaj.org/article/21d40af1dc534131823caf6f0aef0f14
Autor:
Saeed Vahdati, Foad Shokrollahi
Publikováno v:
Mathematics and Modeling in Finance, Vol 4, Iss 1, Pp 19-35 (2024)
This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to appro
Externí odkaz:
https://doaj.org/article/efc4bf92d62a442cb948a3a9bb4368c5
Autor:
Foad Shokrollahi
Publikováno v:
Mathematical and Computational Applications, Vol 27, Iss 2, p 18 (2022)
In this paper, inside the system of uncertainty theory, the valuation of equity warrants is explored. Different from the strategies of probability theory, the valuation problem of equity warrants is unraveled by utilizing the strategy of uncertain ca
Externí odkaz:
https://doaj.org/article/0f0a4759179245b7b10aab7ec4c50860
Autor:
Foad Shokrollahi
Publikováno v:
Axioms, Vol 8, Iss 2, p 39 (2019)
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these results are
Externí odkaz:
https://doaj.org/article/e06c441378694855a7c113ab0c040cc5
Autor:
Foad Shokrollahi
Publikováno v:
Journal of Computational and Applied Mathematics. 344:716-724
In this paper, the geometric Asian option pricing problem is investigated under the assumption that the underlying stock price is assumed following a mixed fractional subdiffusive Black–Scholes model, and the geometric average Asian option pricing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ab1b9e30f5a898553c5c572431e717db
https://doi.org/10.1016/j.cam.2018.05.042
https://doi.org/10.1016/j.cam.2018.05.042
Autor:
Foad Shokrollahi, Marcin Magdziarz
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d7574995da1967084ec86233dedaebb
https://doi.org/10.2139/ssrn.3962881
https://doi.org/10.2139/ssrn.3962881
Autor:
Foad Shokrollahi
Publikováno v:
Journal of Mathematical Finance. :623-639
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1931a1b68e29eea0234275278b95abb
https://doi.org/10.4236/jmf.2018.84040
https://doi.org/10.4236/jmf.2018.84040
Autor:
Foad Shokrollahi
Publikováno v:
Cogent Mathematics & Statistics, Vol 5, Iss 1 (2018)
A new framework for pricing European currency option is developed in the case where the spot exchange rate follows a subdiffusive fractional Black–Scholes. An analytic formula for pricing European currency call option is proposed by a mean self-fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::270c2b619c39a82e849e7d53300613f8
https://doi.org/10.1080/25742558.2018.1470145
https://doi.org/10.1080/25742558.2018.1470145
Autor:
Tommi Sottinen, Foad Shokrollahi
Publikováno v:
Statistics & Probability Letters. 130:85-91
We consider conditional-mean hedging in a fractional Black–Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19a1a43570b2b843f6ed5f09b5892321
https://doi.org/10.1016/j.spl.2017.07.014
https://doi.org/10.1016/j.spl.2017.07.014
Autor:
Foad Shokrollahi
Publikováno v:
International Journal of Theoretical and Applied Finance. 23:2050022
In this paper, we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze European option in a fractional Black–Scholes environment, when the short rate follows the subdiffusive fractional Black–Scholes model. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8f0b5bffa7a9c64eb35efd27bcbd8a5
https://doi.org/10.1142/s0219024920500223
https://doi.org/10.1142/s0219024920500223