Monte Carlo Simulation with Asymptotic Method

Akihiko Takahashi and Nakahiro Yoshida
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Akihiko Takahashi: Faculty of Economics and Graduate School of Mathematical Sciences, University of Tokyo
Nakahiro Yoshida: Graduate School of Mathematical Sciences, University of Tokyo

No CIRJE-F-249, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 35 pages
Date: 2003-11
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-rmg
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2003cf249

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