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Efficiency, Spanning, and the Fiduciary in 401(k)
Plans”
(with
Thomas Doellman and Sabuhi Sardali), under review.
“
Information Stages in Efficient Markets” (with JoonHui
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“
A Robust and Efﬁcient Approximation for American
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“ Optimal Crop
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“ American
Option Pricing Under Stochastic Volatility: An Efficient Numerical Approach (with M.
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“ American
Option Pricing Under Stochastic Volatility: An Empirical Evaluation" (with
M. Goswami and S. Guha), Computational
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“ 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),
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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.
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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.
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6, 1997, pp 169177.
“American
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“Is Concurrent
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F. AitSahlia, E. Johnson and P. Will, IEEE
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