Pricing currency option in a mixed fractional Brownian motion with jumps environment F Shokrollahi, A Kılıçman Mathematical Problems in Engineering 2014, 2014 | 54 | 2014 |
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 | 29 | 2015 |
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 | 23 | 2016 |
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 | 21 | 2018 |
The valuation of currency options by fractional Brownian motion F Shokrollahi, A Kılıçman SpringerPlus 5, 1-15, 2016 | 16 | 2016 |
Hedging in fractional Black-Scholes model with transaction costs F Shokrollahi, T Sotinnen Statistics and Probability Letters 130 (2017), 85-91, 2017 | 13 | 2017 |
Delta-hedging strategy and mixed fractional Brownian motion for pricing currency option F Shokrollahi, A Kılıçman Mathematical Problems in Engineering, 2014 | 12 | 2014 |
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 | 8 | 2024 |
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 | 7 | 2015 |
Pricing compound and extendible options under mixed fractional Brownian motion with jumps F Shokrollahi Axioms 8 (2), 39, 2019 | 6 | 2019 |
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 | 5 | 2022 |
Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs F Shokrollahi Cogent Mathematics & Statistics 5 (1), 1470145, 2018 | 5 | 2018 |
Fractional delta hedging strategy for pricing currency options with transaction costs F Shokrollahi Communications in Mathematical Finance 6 (1), 1-20, 2017 | 2 | 2017 |
Equity Warrants Pricing Formula for Uncertain Financial Market F Shokrollahi Mathematical and Computational Applications 27 (2), 18, 2022 | 1 | 2022 |
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 | 1 | 2021 |
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 | 1 | 2020 |
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime F Shokrollahi arXiv preprint arXiv:1805.00792, 2018 | 1 | 2018 |
Mixed fractional Merton model to evaluate European options with transaction costs F Shokrollahi Scientific Research Publishing, 2018 | 1 | 2018 |
Valuation of equity warrants for uncertain financial market F Shokrollahi arXiv preprint arXiv:1711.08356, 2017 | 1 | 2017 |
Prediction of Gaussian Volterra processes with compound Poisson jumps HM Almani, F Shokrollahi, T Sottinen Statistics & Probability Letters 208, 110054, 2024 | | 2024 |