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Foad Shokrollahi
Foad Shokrollahi
Assistant Professor, University of Vaasa, Finland
Verified email at uva.fi
Title
Cited by
Cited by
Year
Pricing currency option in a mixed fractional Brownian motion with jumps environment
F Shokrollahi, A Kılıçman
Mathematical Problems in Engineering 2014, 2014
532014
Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
F Shokrollahi, A Kılıçman
Advances in Difference Equations 2015, 1-8, 2015
282015
Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
F Shokrollahi, A Kılıçman, M Magdziarz
International Journal of Financial Engineering 3 (01), 1650003, 2016
232016
The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
F Shokrollahi
Journal of Computational and Applied Mathematics 344 (2018), 716-724, 2018
212018
The valuation of currency options by fractional Brownian motion
F Shokrollahi, A Kılıçman
SpringerPlus 5, 1-15, 2016
162016
Hedging in fractional Black-Scholes model with transaction costs
F Shokrollahi, T Sotinnen
Statistics and Probability Letters 130 (2017), 85-91, 2017
122017
Delta-hedging strategy and mixed fractional Brownian motion for pricing currency option
F Shokrollahi, A Kılıçman
Mathematical Problems in Engineering, 2014
122014
Long-range dependent completely correlated mixed fractional Brownian motion
J Dufitinema, F Shokrollahi, T Sottinen, L Viitasaari
Stochastic Processes and their Applications 170, 104289, 2024
72024
Greeks and partial differential equations for some pricing currency options models
F Shokrollahi, A Kilicman, NA Ibrahim, F Ismail
Malaysian Journal of Mathematical Sciences 9 (3), 417–442-417–442, 2015
72015
Pricing compound and extendible options under mixed fractional Brownian motion with jumps
F Shokrollahi
Axioms 8 (2), 39, 2019
62019
A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion
D Ahmadian, LV Ballestra, F Shokrollahi
Chaos, Solitons & Fractals 158, 112023, 2022
52022
Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
F Shokrollahi
Cogent Mathematics & Statistics 5 (1), 1470145, 2018
42018
Fractional delta hedging strategy for pricing currency options with transaction costs
F Shokrollahi
Communications in Mathematical Finance 6 (1), 1-20, 2017
22017
Equity Warrants Pricing Formula for Uncertain Financial Market
F Shokrollahi
Mathematical and Computational Applications 27 (2), 18, 2022
12022
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
F Shokrollahi, D Ahmadian, LV Ballestra
arXiv preprint arXiv:2105.06999, 2021
12021
The Valuation of European Option Under Subdiffusive Fractional Brownian Motion of the Short Rate
F Shokrollahi
International Journal of Theoretical and Applied Finance 23 (04), 2050022, 2020
12020
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
F Shokrollahi
arXiv preprint arXiv:1805.00792, 2018
12018
Mixed fractional Merton model to evaluate European options with transaction costs
F Shokrollahi
Scientific Research Publishing, 2018
12018
Valuation of equity warrants for uncertain financial market
F Shokrollahi
arXiv preprint arXiv:1711.08356, 2017
12017
Prediction of Gaussian Volterra processes with compound Poisson jumps
HM Almani, F Shokrollahi, T Sottinen
Statistics & Probability Letters 208, 110054, 2024
2024
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