Somayeh Fallah

According to our database, Somayeh Fallah authored at least 6 papers between 2017 and 2022.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of four.

2022

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions.

Farshid Mehrdoust, Somayeh Fallah

Commun. Stat. Simul. Comput., 2022

2021

CEV model equipped with the long-memory.

Somayeh Fallah, Farshid Mehrdoust

J. Comput. Appl. Math., 2021

Pricing multi-asset American option under Heston-CIR diffusion model with jumps.

Farshid Mehrdoust, Somayeh Fallah, Oldouz Samimi

Commun. Stat. Simul. Comput., 2021

2019

On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option.

Somayeh Fallah, Farshid Mehrdoust

J. Comput. Appl. Math., 2019

2018

Mixed fractional Heston model and the pricing of American options.

Farshid Mehrdoust, Ali Reza Najafi, Somayeh Fallah, Oldouz Samimi

J. Comput. Appl. Math., 2018

2017

Efficient Monte Carlo option pricing under CEV model.

Farshid Mehrdoust, S. Babaei, Somayeh Fallah

Commun. Stat. Simul. Comput., 2017