From murdoch at stats.uwo.ca  Wed Aug 30 14:04:12 2006
From: murdoch at stats.uwo.ca (Duncan Murdoch)
Date: Wed, 30 Aug 2006 08:04:12 -0400
Subject: [Rd] Speed of runif() on different Operating Systems
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	<44F57A14.4020905@mx.uni-saarland.de>
Message-ID: <44F57EBC.1030207@stats.uwo.ca>

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




[Rd] Speed of runif() on different Operating Systems
Duncan Murdoch