“ Efficiency, Spanning, and the Fiduciary in 401(k)
Plans”
(with
Thomas Doellman and Sabuhi Sardali), under
review.
“ Information Stages in Efficient Markets” (with JoonHui
Yoon), under review.
“ American Options Under Stochastic Volatility:
Parameter Estimation and Pricing Efficiency “ (with M. Goswami
and S. Guha), under review.
“
Optimal Crop Planting Schedules and Financial
Hedging Strategies Under ENSObased Climate Forecasts" (CJ Wang,
V. Cabrera, S. Uryasev, and C. Fraisse), Annals of Operations Research,
vol. 190 (2011), pp. 201220.
“
American Option Pricing Under Stochastic
Volatility: An Efficient Numerical Approach (with M.
Goswami and S. Guha), Computational
Management Science, vol. 7, 2 (2010), 171187.
“
American Option Pricing Under Stochastic
Volatility: An Empirical Evaluation" (with M. Goswami
and S. Guha), Computational
Management Science, vol. 7, 2 (2010), 189206.
“
Corrected Random Walk Approximations to Free
Boundary Problems in Optimal Stopping" (with T. L. Lai and Y. C.
Yao), Advances in Applied
Probability, vol. 39, 3 (2007), 753775.
“
A Canonical Optimal Stopping Problem for American
Options Under a DoubleExponential JumpDiffusion Model" (with A.
Runnemo), Journal of Risk, Vol.
10, 2007, pp. 85100.
“
Pricing and Hedging American KnockIn Options,”
F. AitSahlia, L. Imhof and T. L. Lai, J.
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“
Fast and Accurate Valuation of American Barrier
Options,” F. AitSahlia, L. Imhof and T. L. Lai, J. Computational Finance, Vol. 7,
2003, pp 129145.
“
Exercise Boundaries and Efficient
Approximations to American Option Prices and Hedge Parameters,”
F. AitSahlia and T. L. Lai, J.
Computational Finance, Vol. 4, 2001, pp 85103.
“ A Canonical Optimal Stopping Problem for
American Options and its Numerical Solution,” F. AitSahlia, and
T. L. Lai, J. Computational Finance,
Vol. 3, Winter 1999/2000, pp 3352.
“ Random Walk Duality and the Valuation of Discrete
Lookback Options,” F. AitSahlia and T. L. Lai, Applied Mathematical Finance, Vol.
5, 1998, pp 277340.
“Valuation
of Discrete Barrier and Hindsight Options,” F. AitSahlia and T. L.
Lai, J. Financial Engineering,
Vol. 6, 1997, pp 169177.
“American
Options: A Comparison of
Numerical Methods,” F. AitSahlia and P. Carr, in Numerical Methods in Finance, C. Rogers and D. Talay (eds.), Cambridge University Press, 1997.
“Is
Concurrent Engineering Always a Sensible Proposition?,” F. AitSahlia,
E. Johnson and P. Will, IEEE
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