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“ Mean-Variance 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 Look-Back Option
Prices and their Sensitivities in Lévy Models “ (with
Gudbjort Gylfadottir), working paper.
“ Information Stages in Efficient Markets” (with Joon-Hui
Yoon), Journal of Banking and Finance,
vol. 69 (2016), pp. 84-94.
“
Optimal Crop Planting Schedules and Financial
Hedging Strategies Under ENSO-based Climate Forecasts" (C-J Wang,
V. Cabrera, S. Uryasev, and C. Fraisse), Annals of Operations Research,
vol. 190 (2011), pp. 201-220.
“
American Option Pricing Under Stochastic
Volatility: An Efficient Numerical Approach (with M. Goswami
and S. Guha), Computational
Management Science, vol. 7, 2 (2010), 171-187.
“
American Option Pricing Under Stochastic
Volatility: An Empirical Evaluation" (with M. Goswami and
S. Guha), Computational Management
Science, vol. 7, 2 (2010), 189-206.
“
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), 753-775.
“
A Canonical Optimal Stopping Problem for American
Options Under a Double-Exponential Jump-Diffusion Model" (with A.
Runnemo), Journal of Risk, Vol.
10, 2007, pp. 85-100.
“
Pricing and Hedging American Knock-In Options,”
F. AitSahlia, L. Imhof and T. L. Lai, J.
of Derivatives, Vol. 11, 2004, pp 44-50.
“
Fast and Accurate Valuation of American Barrier
Options,” F. AitSahlia, L. Imhof and T. L. Lai, J. Computational Finance, Vol. 7,
2003, pp 129-145.
“
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 85-103.
“ 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 33-52.
“ Random Walk Duality and the Valuation of Discrete
Lookback Options,” F. AitSahlia and T. L. Lai, Applied Mathematical Finance, Vol.
5, 1998, pp 277-340.
“Valuation
of Discrete Barrier and Hindsight Options,” F. AitSahlia and T. L.
Lai, J. Financial Engineering,
Vol. 6, 1997, pp 169-177.
“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 166-170.
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