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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), 753-775.(link)
“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.(link)
“Pricing
and Hedging American Knock-In Options,” F. AitSahlia, L. Imhof and T.
L. Lai, J. of Derivatives, Vol.
11, 2004, pp 44-50. (link)
“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.(link)
“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.(link)
“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.(link)
“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.(link)
“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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