New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation

Akihiko Takahashi and Yoshihiko Uchida
Additional contact information
Akihiko Takahashi: Faculty of Economics, University of Tokyo
Yoshihiko Uchida: Institute for Monetary and Economic Studies, Bank of Japan

No CIRJE-F-298, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: In the present paper, we propose a new computational technique with the Asymptotic Expansion (AE) approach to achieve variance reduction of the Monte-Carlo integration appearing especially in finance. We extend the algorithm developed by Takahashi and Yoshida (2003) to the second order asymptotics. Moreover, we apply the AE to approximate time dependent differentials of the target value in Newton (1994)'s scheme. Our numerical examples include pricing of average, basket and swap options when the underlying state variables follow Constant Elasticity of Variance (CEV) processes.

Pages: 31 pages
Date: 2004-09
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cf298.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2004cf298

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().