A measure-valued differentiation approach to sensitivities of quantiles
Bernd Heidergott (Tinbergen Institute and Department of Econometrics and Operations Research, Vrije Universiteit Amsterdam, Amsterdam, Netherlands), Warren Volk-Makarewicz (Department of Econometrics and Operations Research, Vrije Universiteit Amsterdam, Amsterdam, Netherlands)
| Year of publication: |
February 2016
|
|---|---|
| Authors: | Heidergott, Bernd ; Volk-Makarewicz, Warren |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 1, p. 293-317
|
| Subject: | quantile | sensitivity analysis | Monte Carlo simulation | measure-valued differentiation | options | multiasset option | Monte-Carlo-Simulation | Sensitivitätsanalyse | Sensitivity analysis | Optionspreistheorie | Option pricing theory | Regressionsanalyse | Regression analysis | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2015.0728 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011448383