Alireza Najafi

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
Pricing European options and portfolio optimization under the sub-mixed fractional Brownian motion model Results in Applied Mathematics	2026-07-13	Paper
A hybrid Crank-Nicolson and Morgan-Voyce collocation method for option pricing pides Computational and Applied Mathematics	2026-01-28	Paper
Portfolio optimization in the illiquid market using the empirical distribution Results in Applied Mathematics	2026-01-21	Paper
A hybrid -finite difference and spectral method for multi-dimensional option pricing Journal of Computational and Applied Mathematics	2025-12-29	Paper
Hedging approaches on the non-stationary market with liquidity constraints under sub mixed fractional model Journal of Computational and Applied Mathematics	2025-11-05	Paper
Conditional expectation strategy under the long memory Heston stochastic volatility model Communications in Statistics. Simulation and Computation	2025-06-13	Paper
Enhanced numerical solution for time fractional Kuramoto-Sivashinsky dynamics via shifted companion Morgan-Voyce polynomials Computational and Applied Mathematics	2025-04-29	Paper
An efficient computational method for solving the fractional form of the European option price PDE with transaction cost under the fractional Heston model Engineering Analysis with Boundary Elements	2025-04-16	Paper
A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis Numerical Algorithms	2025-01-10	Paper
Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with w sources of risk in fuzzy environment Journal of Computational and Applied Mathematics	2024-08-22	Paper
Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market Computational and Applied Mathematics	2024-06-27	Paper
Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint Journal of Computational and Applied Mathematics	2024-06-17	Paper
Comments for Comments for Fractional Liu uncertain differential equation and its application to finance	2023-12-02	Paper
Fractional Liu uncertain differential equation and its application to finance Chaos, Solitons and Fractals	2023-01-26	Paper
Bond and option prices under skew Vasicek model with transaction cost Mathematical Problems in Engineering	2022-01-24	Paper

Research outcomes over time

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