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Ali Foroush Bastani
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2020 – today
- 2021
- [j12]Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani:
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. J. Comput. Appl. Math. 383: 113132 (2021) - [i1]Davood Damircheli, Seyed-Mohammad-Mahdi Kazemi, Ali Foroush Bastani:
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 abs/2109.04676 (2021) - 2020
- [j11]Mohammad Shirzadi
, Mehdi Dehghan
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation. Commun. Nonlinear Sci. Numer. Simul. 84: 105160 (2020) - [j10]Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani:
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes. J. Comput. Appl. Math. 363: 156-170 (2020) - [j9]Maryam Vahid Dastgerdi, Ali Foroush Bastani:
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation. SIAM J. Financial Math. 11(4): 1063-1097 (2020)
2010 – 2019
- 2019
- [j8]M. Malzoumati-Khiaban, Ali Foroush Bastani
Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise. Numer. Algorithms 80(3): 1059-1095 (2019) - 2018
- [j7]Ali Foroush Bastani, Maryam Vahid Dastgerdi, Abolfazl Mighani:
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models. Commun. Nonlinear Sci. Numer. Simul. 59: 88-104 (2018) - [j6]Seyed-Mohammad-Mahdi Kazemi
On a new family of radial basis functions: Mathematical analysis and applications to option pricing. J. Comput. Appl. Math. 328: 75-100 (2018) - 2017
- [j5]Seyed-Mohammad-Mahdi Kazemi
Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry. J. Comput. Appl. Math. 311: 11-37 (2017) - [j4]Ali Foroush Bastani, Davood Damircheli:
An adaptive algorithm for solving stochastic multi-point boundary value problems. Numer. Algorithms 74(4): 1119-1143 (2017) - 2015
- [j3]Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani:
An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations. Numer. Algorithms 69(1): 29-57 (2015) - [j2]Bahar Akhtari, Esmail Babolian, Ali Foroush Bastani:
Erratum to: An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations. Numer. Algorithms 69(2): 471-472 (2015) - 2012
- [j1]Ali Foroush Bastani, Mahdieh Tahmasebi:
Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift. J. Comput. Appl. Math. 236(7): 1903-1918 (2012)
Coauthor Index
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