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 computing 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-335.
Length: 39 pages
Date of creation: Apr 2005
Date of revision:
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