Sensitivity Analysis of Long-Term Cash Flows
Mathematical Finance
2018-09-05 v2
Abstract
In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale extraction through which a pricing operator is transformed into what is easier to address. The method of Fournie et al. will be combined with the martingale extraction. We prove that the sensitivity of long-term cash flows can be represented in a simple form.
Keywords
Cite
@article{arxiv.1511.03744,
title = {Sensitivity Analysis of Long-Term Cash Flows},
author = {Hyungbin Park},
journal= {arXiv preprint arXiv:1511.03744},
year = {2018}
}