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Monte Carlo Simulation with Asymptotic Method

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Author Info

  • Akihiko Takahashi

    (Faculty of Economics and Graduate School of Mathematical Sciences, University of Tokyo)

  • Nakahiro Yoshida

    (Graduate School of Mathematical Sciences, University of Tokyo)

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    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.

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    Bibliographic Info

    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-249.

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    Length: 35 pages
    Date of creation: Nov 2003
    Date of revision:
    Handle: RePEc:tky:fseres:2003cf249

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