英文标题：
《Sensitivity Analysis of Long-Term Cash Flows》
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作者：
Hyungbin Park
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最新提交年份：
2018
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英文摘要：
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.
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中文摘要：
在这篇文章中，长期现金流的敏感度分析的基础上扰动的过程中提出。为此，我们使用鞅抽取，通过它，定价算子被转换成更容易处理的对象。Fournie等人的方法将与鞅提取相结合。我们证明了长期现金流的敏感性可以用一种简单的形式来表示。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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