Abstract
In this paper, we consider the estimation of the quantile sensitivity through Monte Carlo simulations. We first propose a new representation of the quantile by writing it as an expectation involving Dirac Delta payoff functions. Then we consider two alternative approximations for the Dirac Delta function, one is the Delta sequence, and the other is through orthogonal series. Then we derive quantile sensitivity estimators by combining them with the conditional expectation representation derived in (Hong 2009). Numerical examples demonstrate the accurateness and efficiency of the proposed method, and compare with the existing literature.
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