Randomized Sobol' sensitivity indices

DOI10.1007/978-3-319-91436-7_22zbMath1420.91530OpenAlexW2810986712MaRDI QIDQ1722534

Giray Ökten, David R. Mandel

Publication date: 18 February 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-91436-7_22

zbMATH Keywords

Monte Carloglobal sensitivity analysisquantitative finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Randomized Global Sensitivity Analysis and Model Robustness

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