13-082/III - A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

• Authors
  Bernd Heidergott, VU University Amsterdam; Warren Volk-Makarewicz, VU University Amsterdam
• Publication date
  June 29, 2013

• Keywords
  quantile, sensitivity analysis, Monte-Carlo simulation, measure-valued differentiation, options, multi-asset option, Variance-Gamma process
• JEL
  C44, C13, C63