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

Author

Listed:
  • 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.

Suggested Citation

  • Allen Abrahamson, 2002. "A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths," Computational Economics 0205001, University Library of Munich, Germany.
    • 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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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/0205/0205001.pdf
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    More about this item

    Keywords

    Brownian Motion; Extreme Values; Simulation; Monte Carlo Methods; Algorithms and Computer Methods;
    All these keywords.

    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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