A. F. Bastani

发表

A new adaptive Runge-Kutta method for stochastic differential equations

S. Hosseini, A. F. Bastani, 2007 .

A radial basis collocation method for pricing American options under regime-switching jump-diffusion models

Ali Foroush Bastani, Davood Damircheli, A. F. Bastani, 2013 .

Optimal uniform error estimates for moving least‐squares collocation with application to option pricing under jump‐diffusion processes

M. Dehghan, M. Shirzadi, A. F. Bastani, 2020, Numerical Methods for Partial Differential Equations.

A product integration method for the approximation of the early exercise boundary in the American option pricing problem

A. F. Bastani, K. Nedaiasl, Aysan Rafiee, 2017, Mathematical Methods in the Applied Sciences.

On the Numerical Approximation of Some Non-standard Volterra Integral Equations

A. F. Bastani, K. Nedaiasl, 2017 .

On a new family of radial basis functions: Mathematical analysis and applications to option pricing

Mehdi Dehghan, Ali Foroush Bastani, Seyed-Mohammad-Mahdi Kazemi, 2018, J. Comput. Appl. Math..

A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes

Ali Foroush Bastani, Z. Ahmadi, S. Mohammad Hosseini, 2021, J. Comput. Appl. Math..

On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

Ali Foroush Bastani, Mehdi Dehghan, Mohammad Shirzadi, 2020, Commun. Nonlinear Sci. Numer. Simul..

Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

Ali Foroush Bastani, Mahdieh Tahmasebi, A. F. Bastani, 2012, J. Comput. Appl. Math..

A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

Z. Ahmadi, S. Mohammad Hosseini, A. Foroush Bastani, 2020, J. Comput. Appl. Math..

On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models

Ali Foroush Bastani, Maryam Vahid Dastgerdi, Abolfazl Mighani, 2018, Commun. Nonlinear Sci. Numer. Simul..

Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise

A. F. Bastani, M. Yaghouti, M. Malzoumati-Khiaban, 2019, Numerical Algorithms.

A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations

Ali Foroush Bastani, Bijan Z. Zangeneh, Nazanin Abedini, 2021 .

Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market

A. F. Bastani, Peyman Alipour, 2023, 2305.12539.

Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

Mehdi Dehghan, Ali Foroush Bastani, Seyed-Mohammad-Mahdi Kazemi, 2017, J. Comput. Appl. Math..

Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation

Ali Foroush Bastani, Maryam Vahid Dastgerdi, A. F. Bastani, 2020, SIAM J. Financial Math..

On Meshfree Collocation to Compute the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable L\'{e}vy Model

Mohsen Razzaghi, Ali Foroush Bastani, Davood Damircheli, 2021, 2109.04676.

On Numerical Solution of Structural model for the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable Lévy Model with Desingularized Meshfree Collocation method

A. F. Bastani, Davood Damircheli, S. Kazemi, 2021, ArXiv.

An adaptive algorithm for solving stochastic multi-point boundary value problems

Ali Foroush Bastani, Davood Damircheli, A. F. Bastani, 2013, Numerical Algorithms.

On mean-square stability properties of a new adaptive stochastic Runge-Kutta method

S. Hosseini, A. F. Bastani, 2009 .

A trustable shape parameter in the kernel-based collocation method with application to pricing financial options

Mehdi Dehghan, Ali Foroush Bastani, Mohammad Shirzadi, 2021 .