Monte Carlo Simulation with Asymptotic Method
AbstractWe 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.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-249.
Length: 35 pages
Date of creation: Nov 2003
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-07 (All new papers)
- NEP-CMP-2003-12-07 (Computational Economics)
- NEP-ECM-2003-12-07 (Econometrics)
- NEP-RMG-2003-12-07 (Risk Management)
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