A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths
AbstractA 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by EconWPA in its series Computational Economics with number 0205001.
Length: 5 pages
Date of creation: 29 May 2002
Date of revision:
Note: Type of Document - PDF; prepared on IBM PC pdfLatex; to print on HP; pages: 5 ; figures: none. none
Contact details of provider:
Web page: http://220.127.116.11
Brownian Motion; Extreme Values; Simulation; Monte Carlo Methods; Algorithms and Computer Methods;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.