CIRJE-F-249. Takahashi, Akihiko and Nakahiro Yoshida, "Monte Carlo Simulation with Asymptotic Method", November 2003.

We shall propose a new computational scheme with the asymptotic method to achieve variance reduction of Monte Carlo simulation for numerical analysis especially in finance. We not only provide general scheme of our method,@but also show its effectiveness through numerical examples such as com-puting@optimal portfolio and pricing an average option. Finally, we show@mathematical validity of our method.