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- Takahashi Akihiko
- Graduate Scool of Economics, The University of Tokyo
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- Yoshida Nakahiro
- Graduate Scool of Mathematical Sciences, The University of Tokyo
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説明
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.
収録刊行物
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 35 (2), 171-203, 2005
日本統計学会
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キーワード
詳細情報 詳細情報について
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- CRID
- 1390282680264501376
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- NII論文ID
- 110003495322
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- NII書誌ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- NDL書誌ID
- 7966697
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可