MONTE CARLO SIMULATION WITH ASYMPTOTIC METHOD

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概要

• 論文の詳細を見る

• 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.

• 一般社団法人日本統計学会の論文

著者

• Takahashi Akihiko

  Graduate Scool Of Economics The University Of Tokyo

• Yoshida Nakahiro

  Graduate School Of Mathematical Sciences University Of Tokyo

• Yoshida Nakahiro

  Graduate Scool Of Mathematical Sciences The University Of Tokyo

• Takahashi Akihiko

  Graduate School of Economics, The University of Tokyo

関連論文

• ASYMPTOTIC EXPANSION UNDER DEGENERACY
• MONTE CARLO SIMULATION WITH ASYMPTOTIC METHOD

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