“ 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.
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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,
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American Option Pricing Under Stochastic
Volatility: An Efficient Numerical Approach (with M.
Goswami and S. Guha), Computational
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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.
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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,
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“
Exercise Boundaries and Efficient
Approximations to American Option Prices and Hedge Parameters,”
F. AitSahlia and T. L. Lai, J.
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“ 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.
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“Valuation
of Discrete Barrier and Hindsight Options,” F. AitSahlia and T. L.
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Vol. 6, 1997, pp 169177.
“American
Options: A Comparison of
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“Is
Concurrent Engineering Always a Sensible Proposition?,” F. AitSahlia,
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