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  • Search: subject:"Algorithms and Computer Methods"
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Algorithms and Computer Methods 1 Brownian Motion 1 Extreme Values 1 Monte Carlo Methods 1 Simulation 1
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Abrahamson, Allen 1
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Computational Economics 1
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A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths
Abrahamson, Allen - EconWPA - 2002
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...
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