| Mixed fractional Heston model and the pricing of American options F Mehrdoust, AR Najafi, S Fallah, O Samimi Journal of Computational and Applied Mathematics 330, 141-154, 2018 | 31 | 2018 |
| A new hybrid Monte Carlo simulation for Asian options pricing F Mehrdoust Journal of Statistical Computation and Simulation 85 (3), 507-516, 2015 | 26 | 2015 |
| Bond pricing under mixed generalized CIR model with mixed Wishart volatility process AR Najafi, F Mehrdoust Journal of Computational and Applied Mathematics 319, 108-116, 2017 | 25 | 2017 |
| CVaR robust mean-CVaR portfolio optimization M Salahi, F Mehrdoust, F Piri International Scholarly Research Notices 2013, 2013 | 24 | 2013 |
| Valuation of European option under uncertain volatility model S Hassanzadeh, F Mehrdoust Soft Computing 22, 4153-4163, 2018 | 23 | 2018 |
| Adjusted robust mean-value-at-risk model: less conservative robust portfolios S Lotfi, M Salahi, F Mehrdoust Optimization and Engineering 18, 467-497, 2017 | 22 | 2017 |
| Uncertain energy model for electricity and gas futures with application in spark-spread option price F Mehrdoust, I Noorani, W Xu Fuzzy Optimization and Decision Making 22 (1), 123-148, 2023 | 20 | 2023 |
| Block-pulse operational matrix method for solving fractional Black-Scholes equation F Mehrdoust, AH Refahi Sheikhani, M Mashoof, S Hasanzadeh Journal of economic studies 44 (3), 489-502, 2017 | 20 | 2017 |
| LSM algorithm for pricing American option under Heston–Hull–White’s stochastic volatility model O Samimi, Z Mardani, S Sharafpour, F Mehrdoust Computational Economics 50, 173-187, 2017 | 20 | 2017 |
| Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps F Mehrdoust, N Saber Journal of Statistical Computation and Simulation 85 (18), 3811-3819, 2015 | 20 | 2015 |
| Pricing European options under fractional Black–Scholes model with a weak payoff function F Mehrdoust, AR Najafi Computational economics 52, 685-706, 2018 | 19 | 2018 |
| Efficient Monte Carlo option pricing under CEV model F Mehrdoust, S Babaei, S Fallah Communications in Statistics-Simulation and Computation 46 (3), 2254-2266, 2017 | 19 | 2017 |
| On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option S Fallah, F Mehrdoust Journal of Computational and Applied Mathematics 350, 412-422, 2019 | 16 | 2019 |
| A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model I Noorani, F Mehrdoust, A Nasroallah Mathematics and Computers in Simulation 181, 1-15, 2021 | 15 | 2021 |
| A fractional version of the Heston model with Hurst parameter H∈(1/2, 1) E Lepinette, F Mehrdoust Available at SSRN 2884010, 2016 | 15 | 2016 |
| Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost AR Najafi, F Mehrdoust, S Shirinpour Communications in Statistics-Simulation and Computation 47 (3), 864-870, 2018 | 13 | 2018 |
| Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model F Mehrdoust, I Noorani Mathematics and Financial Economics 15, 501-543, 2021 | 12 | 2021 |
| European option pricing under multifactor uncertain volatility model S Hassanzadeh, F Mehrdoust Soft Computing 24, 8781-8792, 2020 | 12 | 2020 |
| American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis S Fallah, F Mehrdoust Journal of Statistical Computation and Simulation 89 (7), 1322-1339, 2019 | 11 | 2019 |
| Parameter estimation of uncertain differential equation by implementing an optimized artificial neural network I Noorani, F Mehrdoust Chaos, Solitons & Fractals 165, 112769, 2022 | 10 | 2022 |
Alireza NajafiUniversity of GuilanVerified email at guilan.ac.ir
