… Farid AitSahlia, ancien élève, who has taught such a course and worked on the research …
the number f(x) to the number x. It is sometimes written as f(·), or more painstakingly as follows: …

… Farid AitSahlia received the BS degree in mathematics from the University of Science and
Technology in Algiers and the MS and Ph.D. degrees in operations research from Stanford …

… The approximately piecewise linear shape, with a few unevenly spaced pieces, of the
early exercise boundary in the canonical scale, already noted in AitSahlia and Lai (1999), …

The overwhelming majority of traded options are of American type. Yet their valuation, even
in the standard case of a lognormal process for the underlying asset, remains a topic of …

… Aitsahlia and Lai … Note that in this recursive algorithm we need only compute f n‡1 (x)
for x ˆ yi (i ˆ 0, 1, ... , kn‡1 … This recursive integration approach was recently extended to …

In this paper, the authors present a simple and accurate method for computing the values
and early exercise boundaries of American options. A key idea underlying the method is the …

… refer to the extensive numerical study of AitSahlia and Lai [1]. In the Black–Scholes theory,
the price of a standard American option is V := supτ∈T (0,T ∗) E[e −rτ f (Pτ )], where f (P ) = (K …

This paper develops a new numerical technique to price an American option written upon
an underlying asset that follows a bivariate diffusion process. The technique presented here …

Over the past few years, model complexity in quantitative finance has increased substantially
in response to earlier approaches that did not capture critical features for risk management. …

This paper investigates the impact of ENSO-based climate forecasts on optimal planting
schedules and financial yield-hedging strategies in a framework focused on downside risk. In …