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. |