Chuan-Hsiang Han

Available identifiers

Publication	Date of Publication	Type
McMC estimation of multiscale stochastic volatility models with applications	2021-02-18	Paper
GPU Acceleration for Computational Finance	2020-12-09	Paper
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models	2019-01-15	Paper
Pricing Asian options with stochastic volatility	2019-01-14	Paper
Monte Carlo calibration to implied volatility surface under volatility models	2017-12-12	Paper
VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS	2014-06-19	Paper
Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation	2013-07-31	Paper
Efficient Importance Sampling Estimation for Joint Default Probability:The First Passage Time Problem	2012-09-07	Paper
A smooth estimator for MC/QMC methods in finance	2011-01-31	Paper
https://portal.mardi4nfdi.de/entity/Q3656123	2010-01-13	Paper
Asymmetric Variance Reduction for Pricing American Options	2009-06-05	Paper
A martingale control variate method for option pricing with stochastic volatility	2007-11-30	Paper
https://portal.mardi4nfdi.de/entity/Q3160502	2005-02-09	Paper
Continuation methods for solving modified discrete-time algebraic Riccati equations	1995-11-28	Paper

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