Ali Foroush Bastani

Available identifiers

zbMath Open foroush-bastani.aliMaRDI QIDQ521928

List of research outcomes

Publication	Date of Publication	Type
A hybrid Chelyshkov wavelet-finite differences method for time-fractional Black-Scholes equation	2024-12-03	Paper
Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes	2023-12-14	Paper
A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model	2023-05-25	Paper
On Meshfree Collocation to Compute the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable L\'{e}vy Model	2021-09-10	Paper
A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations	2021-08-05	Paper
A trustable shape parameter in the kernel-based collocation method with application to pricing financial options	2021-04-13	Paper
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation	2021-01-15	Paper
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models	2020-10-21	Paper
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation	2020-10-15	Paper
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes	2020-09-14	Paper
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes	2019-07-26	Paper
A product integration method for the approximation of the early exercise boundary in the American option pricing problem	2019-06-06	Paper
Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise	2019-03-18	Paper
On a new family of radial basis functions: mathematical analysis and applications to option pricing	2017-09-27	Paper
https://portal.mardi4nfdi.de/entity/Q5355345	2017-09-07	Paper
An adaptive algorithm for solving stochastic multi-point boundary value problems	2017-04-12	Paper
Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry	2016-12-28	Paper
An adaptive algorithm for solving stochastic multi-point boundary value problems	2013-02-21	Paper
Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift	2012-04-24	Paper
On mean-square stability properties of a new adaptive stochastic Runge-Kutta method	2009-02-25	Paper
A new adaptive Runge-Kutta method for stochastic differential equations	2007-06-29	Paper
General solutions of the jockeying problem	1985-01-01	Paper

Research outcomes over time

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