A Measure-Valued Differentiation Approach to Sensitivities of Quantiles

DOI10.1287/moor.2015.0728zbMath1397.60012OpenAlexW1857539435MaRDI QIDQ2800376

Warren Volk-Makarewicz, Bernd F. Heidergott

Publication date: 15 April 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2015.0728

zbMATH Keywords

optionssensitivity analysisMonte Carlo simulationquantilemeasure-valued differentiationmultiasset option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic measure theory (60A10) Abstract differentiation theory, differentiation of set functions (28A15)

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