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A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths

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  • Allen Abrahamson
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    Abstract

    A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of the maximum and the final Wiener process level.

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    File URL: http://128.118.178.162/eps/comp/papers/0205/0205001.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series Computational Economics with number 0205001.

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    Length: 5 pages
    Date of creation: 29 May 2002
    Date of revision:
    Handle: RePEc:wpa:wuwpco:0205001

    Note: Type of Document - PDF; prepared on IBM PC pdfLatex; to print on HP; pages: 5 ; figures: none. none
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    Web page: http://128.118.178.162

    Related research

    Keywords: Brownian Motion; Extreme Values; Simulation; Monte Carlo Methods; Algorithms and Computer Methods;

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