Farshid Mehrdoust

39 papers Journal 37

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	A hybrid θ-finite difference and spectral method for multi-dimensional option pricing. J. Comput. Appl. Math. Xianqing Rao, Panumart Sawangtong, Farshid Mehrdoust, Alireza Najafi
2026	J	`jnl`	Time-varying volatility model equipped with regime switching factor: Valuation of option price written on energy futures. Math. Comput. Simul. Guillaume Leduc, Farshid Mehrdoust, Idin Noorani
2026	J	`jnl`	Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: Model calibration using flower pollination optimization algorithm. J. Comput. Appl. Math. Abdelouahed Hamdi, I. Aksikas, H. Smaoui, Farshid Mehrdoust, Idin Noorani
2025	J	`jnl`	A neural network-based method for pricing American options and assessing implied volatility under uncertainty. J. Comput. Appl. Math. Jinwu Gao, Haomiao Hu, Farshid Mehrdoust, Idin Noorani
2025	J	`jnl`	Calibration of European Option Pricing Model in Uncertain Environment Using an Artificial Neural Network. J. Uncertain Syst. Farshid Mehrdoust, Idin Noorani
2025	J	`jnl`	Comparative Analysis of Artificial Neural Networks and Evolutionary Algorithms in DEA-β-MSV Portfolio Optimization. Algorithms Abdelouahed Hamdi, Arezou Karimi, Farshid Mehrdoust, Samir Brahim Belhaouari
2025	J	`jnl`	Deep Learning-Enhanced Calibration of the Heston Model: A Unified Framework. CoRR Arman Zadgar, Somayeh Fallah, Farshid Mehrdoust
2025	J	`jnl`	Estimation of parameters and valuation of options written on multiple assets described by uncertain fractional differential equations. Appl. Math. Comput. Yue Xin, Yi Zhang, Idin Noorani, Farshid Mehrdoust, Jinwu Gao
2025	J	`jnl`	European option pricing under a generalized fractional Brownian motion Heston exponential Hull-White model with transaction costs by the Deep Galerkin Method. Soft Comput. Mahsa Motameni, Farshid Mehrdoust, Ali Reza Najafi
2024	J	`jnl`	Calibration of European option pricing model in uncertain environment: Valuation of uncertainty implied volatility. J. Comput. Appl. Math. Jinwu Gao, Ruru Jia, Idin Noorani, Farshid Mehrdoust
2024	J	`jnl`	Conditional expectation strategy under the long memory Heston stochastic volatility model. Commun. Stat. Simul. Comput. Alireza Najafi, Farshid Mehrdoust
2024	J	`jnl`	Parameter estimation of uncertain stock model using residual method optimized by genetic algorithm: valuation of vulnerable European and barrier options. Soft Comput. Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi
2024	J	`jnl`	Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. Math. Comput. Simul. Farshid Mehrdoust, Idin Noorani, Juho Kanniainen
2024	J	`jnl`	Vasicek interest rate model under Lévy process and pricing bond option. Commun. Stat. Simul. Comput. Oldouz Samimi, Farshid Mehrdoust
2023	J	`jnl`	Forecasting Nordic electricity spot price using deep learning networks. Neural Comput. Appl. Farshid Mehrdoust, Idin Noorani, Samir Brahim Belhaouari
2023	J	`jnl`	Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. Appl. Math. Comput. Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando, Oldouz Samimi
2023	J	`jnl`	Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm. Math. Comput. Simul. Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi
2023	J	`jnl`	Uncertain energy model for electricity and gas futures with application in spark-spread option price. Fuzzy Optim. Decis. Mak. Farshid Mehrdoust, Idin Noorani, Wei Xu
2022	J	`jnl`	Lookback option pricing under the double Heston model using a deep learning algorithm. Comput. Appl. Math. Mahsa Motameni, Farshid Mehrdoust, Ali Reza Najafi
2022	J	`jnl`	On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. Commun. Stat. Simul. Comput. Farshid Mehrdoust, Somayeh Fallah
2021	J	`jnl`	A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. Math. Comput. Simul. Idin Noorani, Farshid Mehrdoust, Abdelaziz Nasroallah
2021	J	`jnl`	CEV model equipped with the long-memory. J. Comput. Appl. Math. Somayeh Fallah, Farshid Mehrdoust
2021	J	`jnl`	Calibration of the double Heston model and an analytical formula in pricing American put option. J. Comput. Appl. Math. Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi
2021	J	`jnl`	Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region. Soft Comput. Idin Noorani, Farshid Mehrdoust, Waichon Lio
2021	J	`jnl`	Pricing multi-asset American option under Heston-CIR diffusion model with jumps. Commun. Stat. Simul. Comput. Farshid Mehrdoust, Somayeh Fallah, Oldouz Samimi
2020	J	`jnl`	A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds. J. Comput. Appl. Math. Farshid Mehrdoust, Ali Reza Najafi
2020	J	`jnl`	European option pricing under multifactor uncertain volatility model. Soft Comput. Sabahat Hassanzadeh, Farshid Mehrdoust
2019	J	`jnl`	On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option. J. Comput. Appl. Math. Somayeh Fallah, Farshid Mehrdoust
2018	—	`ch.`	Markov Chain Monte Carlo Model. Encyclopedia of Social Network Analysis and Mining. 2nd Ed. Farshid Mehrdoust
2018	J	`jnl`	Mixed fractional Heston model and the pricing of American options. J. Comput. Appl. Math. Farshid Mehrdoust, Ali Reza Najafi, Somayeh Fallah, Oldouz Samimi
2018	J	`jnl`	Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost. Commun. Stat. Simul. Comput. Ali Reza Najafi, Farshid Mehrdoust, Shima Shirinpour
2018	J	`jnl`	Valuation of European option under uncertain volatility model. Soft Comput. Sabahat Hassanzadeh, Farshid Mehrdoust
2017	J	`jnl`	Bond pricing under mixed generalized CIR model with mixed Wishart volatility process. J. Comput. Appl. Math. Ali Reza Najafi, Farshid Mehrdoust
2017	J	`jnl`	Efficient Monte Carlo option pricing under CEV model. Commun. Stat. Simul. Comput. Farshid Mehrdoust, S. Babaei, Somayeh Fallah
2014	—	`ch.`	Markov Chain Monte Carlo Model. Encyclopedia of Social Network Analysis and Mining Farshid Mehrdoust
2012	J	`jnl`	A New Efficient Method for Nonlinear Fisher-Type Equations. J. Appl. Math. Hossein Aminikhah, Farshid Mehrdoust, Ali Jamalian
2011	J	`jnl`	Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair. Comput. Sci. J. Moldova Behrouz Fathi Vajargah, Farshid Mehrdoust
2011	J	`jnl`	New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue. Int. J. Comput. Math. Behrouz Fathi Vajargah, Farshid Mehrdoust
2011	J	`jnl`	Partitioning Inverse Monte Carlo Iterative Algorithm for Finding the Three Smallest Eigenpairs of Generalized Eigenvalue Problem. Adv. Numer. Anal. Behrouz Fathi Vajargah, Farshid Mehrdoust