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Monte-Carlo simulation
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measure-valued differentiation
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multi-asset option
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Tinbergen Instituut
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Collegio Carlo Alberto, Università degli Studi di Torino
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Colwell, David , Banking & Finance, Australian School of Business, UNSW
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd
;
Volk-Makarewicz, Warren
-
Tinbergen Instituut
-
2013
-asset option and a portfolio. In addition, we discuss application of our sensitivity estimator to the
Variance-Gamma
process and to …
Persistent link: https://www.econbiz.de/10011257156
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