Search Results - subject:"Sensitivity estimation"

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Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo

He, Zhijian - In: European journal of operational research : EJOR 298 (2022) 1, pp. 229-242

Persistent link: https://www.econbiz.de/10013206837

Unbiased sensitivity estimation of one-dimensional diffusion processes

Kang, Wanmo; Lee, Jong Mun - In: Mathematics of operations research 44 (2019) 1, pp. 334-353

Persistent link: https://www.econbiz.de/10012001124

Estimating sensitivities of temperature-based weather derivatives

Yuan, Wei; Göncu, Ahmet; Ökten, Giray - In: Applied economics 47 (2015) 19/21, pp. 1942-1955

Persistent link: https://www.econbiz.de/10010513460

The effectiveness of field price discretion : empirical evidence from auto lending

Phillips, Robert L.; Şimşek, A. Serdar; Van Ryzin, Garrett - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1741-1759

Persistent link: https://www.econbiz.de/10011338827

Double Kernel estimation of sensitivities

Elie, Romuald - HAL - 2009

This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...

Persistent link: https://www.econbiz.de/10008790983

Estimating sensitivities of portfolio credit risk using Monte Carlo

Hong, L. Jeff; Juneja, Sandeep; Luo, Jun - In: INFORMS journal on computing : JOC 26 (2014) 4, pp. 848-865

Persistent link: https://www.econbiz.de/10010477690