Michael C. Fu, L. Jeff Hong, Jian-Qiang Hu. Conditional Monte Carlo Estimation of Quantile Sensitivities. Management Science, 55(12):2019-2027, 2009. [doi]
@article{FuHH09,
title = {Conditional Monte Carlo Estimation of Quantile Sensitivities},
author = {Michael C. Fu and L. Jeff Hong and Jian-Qiang Hu},
year = {2009},
doi = {10.1287/mnsc.1090.1090},
url = {http://dx.doi.org/10.1287/mnsc.1090.1090},
tags = {C++},
researchr = {https://researchr.org/publication/FuHH09},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {55},
number = {12},
pages = {2019-2027},
}