Article references

Articles citing this article

The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).

Cited article:

A martingale control variate method for option pricing with stochastic volatility

Jean-Pierre Fouque, Chuan-Hsiang Han

ESAIM: PS, 11 (2007) 40-54

Published online: 2007-03-01

DOI: https://doi.org/10.1051/ps:2007005

This article has been cited by the following article(s):

A smooth estimator for MC/QMC methods in finance

Chuan-Hsiang Han and Yongzeng Lai
Mathematics and Computers in Simulation 81 (3) 536 (2010)
DOI: 10.1016/j.matcom.2010.07.013
See this article

CAM Stochastic Volatility Model for Option Pricing

Wanwan Huang, Brian Ewald and Giray Ökten
Mathematical Problems in Engineering 2016 1 (2016)
DOI: 10.1155/2016/5496945
See this article

Monte Carlo calibration to implied volatility surface under volatility models

Chuan-Hsiang Han and Chien-Liang Kuo
Japan Journal of Industrial and Applied Mathematics 34 (3) 763 (2017)
DOI: 10.1007/s13160-017-0270-z
See this article

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
Quantitative Finance 16 (1) 17 (2016)
DOI: 10.1080/14697688.2015.1068443
See this article

VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS

CHUAN-HSIANG HAN, WEI-HAN LIU and TZU-YING CHEN
International Journal of Theoretical and Applied Finance 17 (02) 1450009 (2014)
DOI: 10.1142/S0219024914500095
See this article

Special Volume: Mathematical Modeling and Numerical Methods in Finance

Chuan-Hsiang Han and Jean-Pierre Fouque
Handbook of Numerical Analysis, Special Volume: Mathematical Modeling and Numerical Methods in Finance 15 169 (2009)
DOI: 10.1016/S1570-8659(08)00004-5
See this article

Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities

Yijuan Liang and Xiuchuan Xu
Sustainability 11 (3) 815 (2019)
DOI: 10.3390/su11030815
See this article

Handbook of Quantitative Finance and Risk Management

German Molina, Chuan-Hsiang Han and Jean-Pierre Fouque
Handbook of Quantitative Finance and Risk Management 1109 (2010)
DOI: 10.1007/978-0-387-77117-5_71
See this article

Least-square-based control variate method for pricing options under general factor models

Chenglong Xu, Junmei Ma and Yiming Tian
International Journal of Computer Mathematics 96 (6) 1121 (2019)
DOI: 10.1080/00207160.2018.1442925
See this article

VaR/CVaR Estimation Under Stochastic Volatility Models

Chuan-Hsiang Han, Wei-Han Liu and Tzu-Ying Chen
SSRN Electronic Journal (2013)
DOI: 10.2139/ssrn.2202032
See this article

American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics

Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
SSRN Electronic Journal (2014)
DOI: 10.2139/ssrn.2520639
See this article

Efficient multiple control variate method with applications to exotic option pricing

Suhua Zhang, Chunxiang A and Yongzeng Lai
Communications in Statistics - Theory and Methods 50 (6) 1275 (2021)
DOI: 10.1080/03610926.2019.1648829
See this article

Chuan-Hsiang Han and Yu-Tuan Lin
1023 (2014)
DOI: 10.1109/PADSW.2014.7097926
See this article