Monte Carlo Simulation with Asymptotic Method (Published in "Journal of Japan Statistical Society", Vol.35-2, 171-203, 2005. )

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

No CARF-F-030, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The 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 computing optimal portfolio and pricing an average option. Finally, we show mathematical validity of our method.

Pages: 39 pages
Date: 2005-04
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Citations: View citations in EconPapers (38)

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