Somayeh Fallah
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Person:1713192
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 |
|---|---|---|
| Markov regime-switching Heston model with CIR model framework and pricing VIX and S\&P500 American put option | 2024-04-11 | Paper |
| On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions Communications in Statistics. Simulation and Computation | 2022-12-13 | Paper |
| Pricing multi-asset American option under Heston-CIR diffusion model with jumps Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
| CEV model equipped with the long-memory Journal of Computational and Applied Mathematics | 2021-02-11 | Paper |
| American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis Journal of Statistical Computation and Simulation | 2020-04-27 | Paper |
| On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option Journal of Computational and Applied Mathematics | 2019-01-24 | Paper |
Research outcomes over time
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