Arbeitspapier
A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path differentiation. This has led to an intensive search for sample-path differentiation based estimators for quantile sensitivities. In this paper we present a novel approach to quantile sensitivity estimation. Our approach elaborates on the concept of measure-valued differentiation (MVD). Thereby, we overcome the main obstacle of the sample path approach which is the requirement that the sample cost have to be Lipschitz continuous with respect to the parameter of interest. Specifically, we perform a sensitivity analysis of the quantile of the value of a multi-asset option and a portfolio. In addition, we discuss application of our sensitivity estimator to the Variance-Gamma process and to queueing networks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 13-082/III
- Klassifikation
-
Wirtschaft
Operations Research; Statistical Decision Theory
Estimation: General
Computational Techniques; Simulation Modeling
- Thema
-
quantile
sensitivity analysis
Monte-Carlo simulation
measure-valued differentiation
options
multi-asset option
Variance-Gamma process
Sensitivitätsanalyse
Regression
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Heidergott, Bernd
Volk-Makarewicz, Warren
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Heidergott, Bernd
- Volk-Makarewicz, Warren
- Tinbergen Institute
Entstanden
- 2013
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