2 citations · 2 across the 3 of their papers we have counts for
8 papers
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
Foad Shokrollahi, Davood Ahmadian, Luca Vincenzo Ballestra
The mixed fractional Brownian motion () has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certa…
Long-range dependent completely correlated mixed fractional Brownian motion
Josephine Dufitinema, Foad Shokrollahi, Tommi Sottinen +1
In this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motio…
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
Foad Shokrollahi, Marcin Marcin Magdziarz
In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short…
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
Foad Shokrollahi
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the…
The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
Foad Shokrollahi
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the…
Valuation of equity warrants for uncertain financial market
Foad Shokrollahi
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants p…