Somayeh Fallah
University of Gilan
10 Papers
51 Citations
Somayeh Fallah is an academic researcher from University of Gilan. The author has contributed to research in topics: Heston model & Valuation of options. The author has an hindex of 5, co-authored 9 publications.
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Papers
Mixed fractional Heston model and the pricing of American options
TL;DR: A fractional version of the Heston model is presented in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian motions with Hurst parameter H(34,1) so that the model exhibits a long range dependence.
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On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option
Somayeh Fallah,Farshid Mehrdoust +1 more
TL;DR: A Monte Carlo algorithm based on the Euler discretization method to price the Lookback options under the double Heston model which is defined by two independent variance processes with non-Lipschitz diffusions.
13
Efficient Monte Carlo option pricing under CEV model
TL;DR: It is found that the proposed algorithm under the geometric Brownian motion assumption in the Black–Scholes model can effectively apply for pricing arithmetic Asian options when the stock price process follows the CEV model.
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A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
TL;DR: In this article, the existence and uniqueness of the solution to a fractional version of the Cox-Ingersoll-Ross (fCIR) stochastic differential equation was studied.
10
American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
Somayeh Fallah,Farshid Mehrdoust +1 more
TL;DR: In this article, the authors investigated the double Heston model dynamics which is defined by two independent variance processes with non-Lipschitz diffusions, and analyzed the strong convergence of these processes.
9