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|Title:||Enhancing the Morris Method|
|Authors:||CAMPOLONGO Francesca; CARIBONI Jessica; WIM Schoutens|
|Citation:||Sensitivity Analysis of Model Output p. 369-379|
|JRC Publication N°:||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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