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

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Author Info
Allen Abrahamson
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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Publisher 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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Related research
Keywords: 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: General - - - Statistical Simulation Methods
G19 - Financial Economics - - General Financial Markets - - - Other

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-12-9.

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