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Pricing and hedging derivative securities in markets with uncertain volatilities
Authors:
M. Avellaneda ab;
A. Levy c;
A. Par
S a
S a
| Affiliations: | a Courant Institute of Mathematical Sciences, New York, NY, USA |
| b Institute for Advanced Study, Princeton, NJ, USA | |
| c J. P. Morgan Securities, New York, NY, USA |
DOI:
10.1080/13504869500000005
Publication Frequency:
6 issues per year
Formats available:
PDF
(English)
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