New Method of Sensitivity Computation Based on Markov Models with Its Application for Risk Management
Sensitivity analysis is at the core of risk management for financial engineering; to calculate the sensitivity with respect to parameters in models with probability expectation, the most traditional approach applies the finite difference method, whereafter integration by parts formula was developed...
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Main Authors: | Zheng Gu, Yue Liu, Aijun Yang, Kaodui Li |
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Format: | Article |
Language: | English |
Published: |
Wiley
2022-01-01
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Series: | Journal of Mathematics |
Online Access: | http://dx.doi.org/10.1155/2022/9510466 |
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