Monte Carlo Simulation with Asymptotic Method
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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|Date of creation:||Nov 2003|
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