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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
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