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Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model 

Authors: Marco Avellaneda a; Antonio ParAacuteS a
Affiliation:   a Courant Institute of Mathematical Sciences, New York University, New York, N.Y.
DOI: 10.1080/13504869600000002
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 3, Issue 1 March 1996 , pages 21 - 52
Formats available: PDF (English)
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