CIRJE-F-335 | "Monte Carlo Simulation with Asymptotic Method" |
Author Name | Takahashi, Akihiko and Nakahiro Yoshida |
Date | April 2005 |
Full Paper | PDF file@ |
Remarks | Subsequently published in Journal of Japan Statistical Society, Vol.35-2, 171-203, 2005. |
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 computing
optimal portfolio and pricing an average option. Finally, we show
mathematical validity of our method. |