• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

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