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.
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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
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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
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