Title: Enhancing the Morris Method
Authors: CAMPOLONGO FrancescaCARIBONI JessicaWIM Schoutens
Citation: Sensitivity Analysis of Model Output p. 369-379
Publication Year: 2005
JRC N°: JRC31319
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC31319
Type: Contributions to Conferences
Abstract: The screening method proposed by Morris and recently improved by Campolongo et al. has been employed to estimate the importance of the inclusion of jumps in a model for pricing European options. Results confirm that, among the sources of uncontrollable uncertainty, jumps play a major role and therefore need to be better investigated in order to improve the accuracy of the model predictions. The importance of jumps is more pronounced for higher option strike prices, which is when the option is “out of the money”.
JRC Institute:Institute for the Protection and Security of the Citizen

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