Publications

1. (posted 9/7/04) J.P. Fouque and C.H. Han: A CONTROL VARIATE METHOD TO EVALUATE OPTION PRICES UNDER MULTI-FACTOR STOCHASTIC VOLATILITY MODELS. Submitted.
2. (posted 4/11/04) J.P. Fouque and C.H. Han: Evaluation of compound options using perturbation approximation. Submitted.
3. (posted 4/1/04) J.P. Fouque and C.H. Han: Variance Reduction for Monte Carlo Methods to Evaluate Option Prices under Multi-factor Stochastic Volatility Models. To appear in Quantitative Finance.
4. (posted 9/30/03, revised 11/10/03) J.P. Fouque and C.H. Han Asian Options under Multiscale Stochastic Volatility. AMS Contemporory Mathematics: Mathematics of Finance, 2003, pp. 125 - 138.
5. Dissertation: Singular Perturbations on Non-Smooth Boundary Problems in Finance.
6. (posted 6/5/03) G. Molina, C.H. Han and J.P. Fouque: MCMC Estimation of Multiscale Stochastic Volatility Models Submitted.
7. (posted 11/26/02, revised 6/5/03) J.P. Fouque and C.H. Han: Pricing Asian Options with Stochastic Volatility, Quantitative Finance Volume 3 (2003) 353 - 362.
8. Y. Seong and C.-H. Han, etc, "Pricing Interest Rate Related Instruments," Technical Report, CRSC, November 2001.
9. W.-W. Lin, C.-S. Wang, and C.-H. Han: Continuation Methods for Solving Discrete-Time Algebraic Riccati Equations, IEEE Tran. Automatic Control, Vol. 40, No. 5, May 1995.