O
O. Nikan
Researcher at Iran University of Science and Technology
Publications - 69
Citations - 1195
O. Nikan is an academic researcher from Iran University of Science and Technology. The author has contributed to research in topics: Discretization & Computer science. The author has an hindex of 16, co-authored 39 publications receiving 497 citations. Previous affiliations of O. Nikan include Duy Tan University.
Papers
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Numerical analysis of time fractional Black–Scholes European option pricing model arising in financial market
TL;DR: In this article, a mesh-free solution of the time fractional Black-Scholes model (TFBSM) with boundary conditions for a problem of European option pricing involved with the method of radial basis functions (RBFs) is presented.
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A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model
Ahmad Golbabai,O. Nikan +1 more
TL;DR: This paper investigates the pricing of double barrier options when the price change of the underlying is considered as a fractal transmission system and obtains the approximation solution of the time fractional Black–Scholes model of order based on the moving least-squares (MLS) method.
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Numerical approximation of the nonlinear time-fractional telegraph equation arising in neutron transport
TL;DR: The unconditional stability and convergence of the time-discretized formulation are demonstrated and confirmed numerically, and the numerical results highlight the accuracy and the validity of the method.
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Numerical approach for modeling fractional heat conduction in porous medium with the generalized Cattaneo model
TL;DR: In this paper, an accurate and robust meshless technique for approximating the solution of the time fractional Cattaneo model applied to the heat flow in a porous medium is proposed.
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Numerical analysis of the fractional evolution model for heat flow in materials with memory
TL;DR: In this article, the authors developed the solution of the two-dimensional time fractional evolution model using finite difference scheme derived from radial basis function (RBF-FD) method, which is based on the local support domain that leads to a sparsity system and also avoids the ill-conditioning problem caused by global collocation method.