A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Year of publication: |
2013
|
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Authors: | Heidergott, Bernd ; Volk-Makarewicz, Warren |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Sensitivitätsanalyse | Regression | Theorie | quantile | sensitivity analysis | Monte-Carlo simulation | measure-valued differentiation | options | multi-asset option | Variance-Gamma process |
Series: | Tinbergen Institute Discussion Paper ; 13-082/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 770074405 [GVK] hdl:10419/87431 [Handle] RePEc:dgr:uvatin:20130082 [RePEc] |
Classification: | C44 - Statistical Decision Theory; Operations Research ; C13 - Estimation ; C63 - Computational Techniques |
Source: |
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A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
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