2015/11/12 by Hyungbin Park, Park, Hyungbin
Economics, Econometrics and Finance · #FOS: Economics and business #Mathematical Finance (q-fin.MF) #q-fin.MF
paper · pdf · doi:10.48550/arxiv.1511.03744
arxiv created 2018/09/04 · arxiv updated 2018/09/05
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.