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

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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Year of publication:	2002-05-29
Authors:	Abrahamson, Allen
Institutions:	EconWPA
Subject:	Brownian Motion \| Extreme Values \| Simulation \| Monte Carlo Methods \| Algorithms and Computer Methods

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Extent:	application/pdf
Series:	Computational Economics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - PDF; prepared on IBM PC pdfLatex; to print on HP; pages: 5 ; figures: none. none 5 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561500