Ali Foroush Bastani

13 papers Journal 13
YearRankTypeTitle / Venue / Authors
2021 J jnl
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes.
J. Comput. Appl. Math.
Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani
2021 J jnl
On Numerical Solution of Structural model for the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable Lévy Model with Desingularized Meshfree Collocation method.
CoRR
Davood Damircheli, Seyed-Mohammad-Mahdi Kazemi, Ali Foroush Bastani
2020 J jnl
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes.
J. Comput. Appl. Math.
Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani
2020 J jnl
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation.
Commun. Nonlinear Sci. Numer. Simul.
Mohammad Shirzadi, Mehdi Dehghan, Ali Foroush Bastani
2020 J jnl
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation.
SIAM J. Financial Math.
Maryam Vahid Dastgerdi, Ali Foroush Bastani
2019 J jnl
Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise.
Numer. Algorithms
M. Malzoumati-Khiaban, Ali Foroush Bastani, M. R. Yaghouti
2018 J jnl
On a new family of radial basis functions: Mathematical analysis and applications to option pricing.
J. Comput. Appl. Math.
Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani
2018 J jnl
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models.
Commun. Nonlinear Sci. Numer. Simul.
Ali Foroush Bastani, Maryam Vahid Dastgerdi, Abolfazl Mighani
2017 J jnl
An adaptive algorithm for solving stochastic multi-point boundary value problems.
Numer. Algorithms
Ali Foroush Bastani, Davood Damircheli
2017 J jnl
Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry.
J. Comput. Appl. Math.
Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani
2015 J jnl
An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations.
Numer. Algorithms
Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani
2015 J jnl
Erratum to: An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations.
Numer. Algorithms
Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani
2012 J jnl
Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift.
J. Comput. Appl. Math.
Ali Foroush Bastani, Mahdieh Tahmasebi