Year: 2005
Type: article
Abstract: We shall propose a new computational scheme with the asymptotic method to achieve variance reduction of Monte Carlo simulation for numerical analysis particularly for 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.
DOI: 10.14490/jjss.35.171
Authors: Akihiko Takahashi, Nakahiro Yoshida
Institution: The University of Tokyo
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2036077530