Simulation of extremes of diffusions

DOI10.1002/CJS.10084zbMath1349.62521OpenAlexW1986383989MaRDI QIDQ3086525

Tingting Gou, Duncan J. Murdoch

Publication date: 30 March 2011

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.10084

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Diffusion processes (60J60)

Uses Software

• Unnamed Item

Cites Work

• Exact simulation of diffusions
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• The joint density of the maximum and its location for a Wiener process with drift
• Highs and lows: Some properties of the extremes of a diffusion and applications in finance

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