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

Allen Abrahamson

Computational Economics from EconWPA

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.

Keywords: Brownian Motion; Extreme Values; Simulation; Monte Carlo Methods; Algorithms and Computer Methods (search for similar items in EconPapers)
JEL-codes: C15 G19 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2002-05-29
Note: Type of Document - PDF; prepared on IBM PC pdfLatex; to print on HP; pages: 5 ; figures: none. none
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpco:0205001

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