Keywords = Option pricing
Alternating Direction Implicit Method for Approximation Solution of the HCIR Model, including Transaction Costs in a Jump-Diffusion Model

Articles in Press, Accepted Manuscript, Available Online from 28 April 2024


Elham Mashayekhi; Javad Damirchi; Ahmad Reza Yazdanian

Haar wavelet-based valuation method for pricing European options

Volume 11, Issue 2, April 2023, Pages 281-290


Saeed Vahdati; Mohammad Reza Ahmadi darani; Mohammad Reza Ghanei

Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation

Volume 10, Issue 2, April 2022, Pages 419-430


Reza Hejazi; Elham Dastranj; Noora Habibi; Azadeh Naderifard

A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options

Volume 9, Issue 2, April 2021, Pages 523-552


Maryam Rezaei Mirarkolaei; Ahmadreza Yazdanian; Seyed Mahdi Mahmoudi; Ali Ashrafi