On 8/30/2006 7:44 AM, Martin Becker wrote: > Duncan Murdoch schrieb: >> >> McLeish published algorithms to simulate these directly in a recent >> issue of CJS. I don't have the reference handy, but I think it's 2004 >> or 2005. >> >> Duncan Murdoch > Thank you for this reference, I think it is the 2002 article "*Highs and > lows: Some properties of the extremes of a diffusion and applications in > finance"*.
Yes, that's it. Duncan Murdoch > This article perfectly covers simulation of final and minimal or final > and maximal value and gives some proposals for the simulation of the > third component (max resp. min). In principle my implementation of the > simulation of the first two components coincides with the algorithm > given in this paper. > > Thanks again, > > Martin ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
