@article{fouque_han_2004, title={Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models}, volume={4}, ISSN={["1469-7696"]}, DOI={10.1080/14697680400020317}, abstractNote={We present variance reduction methods for Monte Carlo simulations to evaluate European and Asian options in the context of multiscale stochastic volatility models. European option price approximations, obtained from singular and regular perturbation analysis [Fouque J P, Papanicolaou G, Sircar R and Solna K 2003 Multiscale stochastic volatility asymptotics, SIAM J. Multiscale Modeling and Simulation 2], are used in importance sampling techniques, and their efficiencies are compared. Then we investigate the problem of pricing arithmetic average Asian options (AAOs) by Monte Carlo simulations. A two-step strategy is proposed to reduce the variance where geometric average Asian options (GAOs) are used as control variates. Due to the lack of analytical formulas for GAOs under stochastic volatility models, it is then necessary to consider efficient Monte Carlo methods to estimate the unbiased means of GAOs. The second step consists in deriving formulas for approximate prices based on perturbation techniques, and in computing GAOs by using importance sampling. Numerical results illustrate the efficiency of our method.}, number={5}, journal={QUANTITATIVE FINANCE}, author={Fouque, JP and Han, CH}, year={2004}, month={Oct}, pages={597–606} }
 @article{fouque_han_2003, title={Pricing Asian options with stochastic volatility}, volume={3}, ISSN={["1469-7696"]}, DOI={10.1088/1469-7688/3/5/301}, abstractNote={Abstract In this paper, we generalize the recently developed dimension reduction technique of Vecer for pricing arithmetic average Asian options. The assumption of constant volatility in Vecer's method will be relaxed to the case that volatility is randomly fluctuating and is driven by a mean-reverting (or ergodic) process. We then use the fast mean-reverting stochastic volatility asymptotic analysis introduced by Fouque, Papanicolaou and Sircar to derive an approximation to the option price which takes into account the skew of the implied volatility surface. This approximation is obtained by solving a pair of one-dimensional partial differential equations.}, number={5}, journal={QUANTITATIVE FINANCE}, author={Fouque, JP and Han, CH}, year={2003}, month={Oct}, pages={353–362} }