Heidergott, Bernd; Volk-Makarewicz, Warren - 2013
for quantile sensitivities by means of sample path differentiation. This has led to an intensive search for sample …-path differentiation based estimators for quantile sensitivities. In this paper we present a novel approach to quantile sensitivity … to the parameter of interest. Specifically, we perform a sensitivity analysis of the quantile of the value of a multi …