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A measure-valued differentiation approach to sensitivities of quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - In: Mathematics of operations research 41 (2016) 1, pp. 293-317
Persistent link: https://www.econbiz.de/10011448383
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Waiting for liver transplantation in Canada: waitlist history 2000-2004 and sensitivity analysis for the future
Stanford, David A.; Renouf, Elizabeth M.; McAlister, … - In: Health care management science 11 (2008) 2, pp. 184-195
Persistent link: https://www.econbiz.de/10003732169
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Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
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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
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European options sensitivities via Monte Carlo Techniques
Leahu, Haralambie - 2013
Persistent link: https://www.econbiz.de/10010245556
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Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
Scoleri, Stefano - 2017
computational cost. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of QMC simulation …
Persistent link: https://www.econbiz.de/10012963705
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Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan - 2019
Persistent link: https://www.econbiz.de/10012197036
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A simple analysis of customer impatience in multi-server queues
Choudhury, Amit; Medhi, Pallabi - In: International journal of applied management science 3 (2011) 3, pp. 294-315
Persistent link: https://www.econbiz.de/10009317611
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Variable selection in regression models using global sensitivity analysis
Becker, William; Paruolo, Paolo; Saltelli, Andrea - In: Journal of time series econometrics 13 (2021) 2, pp. 187-233
Persistent link: https://www.econbiz.de/10012612768