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

[Duncan Murdoch]

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