From martin.becker at mx.uni-saarland.de  Wed Aug 30 13:44:20 2006
From: martin.becker at mx.uni-saarland.de (Martin Becker)
Date: Wed, 30 Aug 2006 13:44:20 +0200
Subject: [Rd] Speed of runif() on different Operating Systems
In-Reply-To: <44F56C24.4040108@stats.uwo.ca>
References: <44F2FC78.3040106@mx.uni-saarland.de>	<Pine.LNX.4.64.0608281535580.652@gannet.stats.ox.ac.uk>	<44F5634B.8090801@mx.uni-saarland.de>
	<Pine.LNX.4.64.0608301110390.27066@gannet.stats.ox.ac.uk>
	<44F56C24.4040108@stats.uwo.ca>
Message-ID: <44F57A14.4020905@mx.uni-saarland.de>

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"*.
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
Martin Becker