CIRJE-F-249 "Monte Carlo Simulation with Asymptotic Method"
Author Name Takahashi, Akihiko and Nakahiro Yoshida
Date November 2003
Full Paper  
Remarks Revised as CIRJE-F-335 (2005); subsequently published in Statistical Inference for Stochastic Processes, Vol.7, No.2, 153-188, 2004.
Abstract

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.