“
MeanVariance Spanning Tests: The Fiduciary Case in
401(k) Plans” (with Thomas Doellman and Sabuhi Sardali), under
review.
“
American Options Under Stochastic Volatility:
Parameter Estimation and Pricing Efficiency “ (with M. Goswami
and S. Guha), under review.
“
Discretely Monitored LookBack Option
Prices and their Sensitivities in Lévy
Models “ (with Gudbjort Gylfadottir), working paper.
“
Information Stages in Efficient Markets” (with JoonHui
Yoon), Journal of Banking and Finance,
vol. 69 (2016), pp. 8494.
“ 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. of Derivatives, Vol. 11, 2004, pp 4450.
“ 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
Transactions on Engineering Management, Vol. 42, 1995, pp 166170.




