Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

References

References

• Alizadeh , S , Brandt , M and Diebold , F . 2002 . Range-based estimation of stochastic volatility models . Journal of Finance , 57 : 1047 – 91 .
   Web of Science ®Google Scholar
• Boyle , P , Broadie , M and Glasserman , P . 1997 . Monte Carlo methods for security pricing . Journal of Economic and Control , 21 : 1267 – 321 .
   Web of Science ®Google Scholar
• Chernov , M , Gallant , R , Ghysels , E and Tauchen , G . 2003 . Alternative models for stock price dynamics . J. of Econometrics , 116 : 225 – 57 .
   Web of Science ®Google Scholar
• Fouque , J-P and Han , C-H . 2003 . Pricing asian options with stochastic volatility . Quantitative Finance , 3 : 353 – 62 .
   Web of Science ®Google Scholar
• Fouque , J-P and Han , C-H . 2004 . Asian options under multiscale stochastic volatility . AMS Contemporary Mathematics: Mathematics of Finance , 351 : 125 – 38 .
   Google Scholar
• Fouque J-P Han C-H 2004 Geometric average asian options under multiscale stochastic volatility (Preprint)
   Google Scholar
• Fouque J-P Papanicolaou G Sircar R 2000 Derivatives in Financial Markets with Stochastic Volatility Cambridge Cambridge University Press
   Google Scholar
• Fouque , J-P , Papanicolaou , G , Sircar , R and Solna , K . 2003 . Multiscale stochastic volatility asymptotics . SIAM Journal on Multiscale Modeling and Simulation , 2 ( 1 ) : 22 – 42 .
   Web of Science ®Google Scholar
• Fouque , J-P and Tullie , T . 2002 . Variance reduction for Monte Carlo simulation in a stochastic volatility environment . Quantitative Finance , 2 : 24 – 30 .
   Google Scholar
• Glasserman P 2003 Monte Carlo Methods in Financial Engineering New York Springer Verlag
   Google Scholar
• Molina G Han C-H Fouque J-P 2003 MCMC Estimation of Multiscale Stochastic Volatility Models (Preprint)
   Google Scholar
• Newton , N . 1994 . Variance Reduction for Simulated Diffusions . SIAM J. Appl. Math , 54 : 1780 – 805 .
   Web of Science ®Google Scholar
• Wong , H-Y and Cheung , Y-L . 2004 . Geometric Asian Options: valuation and calibration with stochastic volatility . Quantitative Finance , 4 : 301 – 14 .
   Web of Science ®Google Scholar
• Vecer , J and Xu , M . 2004 . Pricing Asian options in a semimartingale model . Quantitative Finance , 4 : 170 – 5 .
   Web of Science ®Google Scholar