Computational Finance Publications

• P. Chalasani, S. Jha, and A. Varikooty, Accurate Approximations for European Asian Options, Journal of Computational Finance (JCF), Volume 1/Number 4, 1998.
• P. Chalasani, S. Jha, F. Egriboyun, and A. Varikooty, A Refined Binomial Lattice for Pricing American Asian Options, Review of Derivatives Research (REDR), Volume 3, Issue 1, 1999. Also appeared in 8th Annual Derivative Securities Conference, 1998.
• P. Chalasani, S. Jha, and I. Saias, Approximate Option Pricing, Algorithmica, Volume 25, 1999. Also appeared in Proceedings of Foundations of Computer Science (FOCS), 1996.
• P. Chalasani, and S. Jha, Randomized Stopping Times and American Option Pricing with Transaction Costs, Mathematical Finance, Volume 3, Issue 1, 1999. 9-th Annual Derivative Securities Conference, 1998.
• P. Chalasani, and S. Jha. Lecture notes on Stochastic Calculus and Finance, based on Steven Shreve's course at Carnegie Mellon (364 pages), see the following link.