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...

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...