Foad Shokrollahi

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands Journal of Theoretical Probability	2025-06-20	Paper
Pricing Asian options under the mixed fractional Brownian motion with jumps Mathematics and Computers in Simulation	2025-04-25	Paper
Long-range dependent completely correlated mixed fractional Brownian motion Stochastic Processes and their Applications	2024-03-04	Paper
Prediction of Gaussian Volterra Processes with Compound Poisson Jumps	2023-10-09	Paper
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps	2021-05-14	Paper
The valuation of European option under subdiffusive fractional Brownian motion of the short rate International Journal of Theoretical and Applied Finance	2020-08-05	Paper
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate	2020-07-23	Paper
Pricing compound and extendible options under mixed fractional Brownian motion with jumps Axioms	2020-03-23	Paper
Option pricing in fractional models	2019-11-19	Paper
Option pricing in fractional models	2019-11-19	Paper
Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs Cogent Mathematics & Statistics	2019-09-10	Paper
Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option Advances in Difference Equations	2019-02-13	Paper
Pricing currency option in a mixed fractional Brownian motion with jumps environment Mathematical Problems in Engineering	2019-02-08	Paper
The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion Journal of Computational and Applied Mathematics	2018-07-26	Paper
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime	2018-05-02	Paper
Hedging in fractional Black-Scholes model with transaction costs Statistics & Probability Letters	2017-10-06	Paper
The valuation of European option with transaction costs by mixed fractional Merton model	2017-02-01	Paper

Research outcomes over time

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