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 ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
