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• W1990809361 abstract "We investigate the application of the likelihood ratio method (LRM) for sensitivity estimation when the relevant density for the underlying model is known only through its characteristic function or Laplace transform. This problem arises in financial applications, where sensitivities are used for managing risk and where a substantial class of models have transition densities known only through their transforms. We quantify various sources of errors arising when numerical transform inversion is used to sample through the characteristic function and to evaluate the density and its derivative, as required in LRM. This analysis provides guidance for setting parameters in the method to accelerate convergence." @default.
• W1990809361 created "2016-06-24" @default.
• W1990809361 creator A5026554334 @default.
• W1990809361 creator A5026619574 @default.
• W1990809361 date "2007-12-09" @default.
• W1990809361 modified "2023-09-29" @default.
• W1990809361 title "Sensitivity estimates from characteristic functions" @default.
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• W1990809361 doi "https://doi.org/10.5555/1351542.1351707" @default.
• W1990809361 hasPublicationYear "2007" @default.
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