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Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
Authors:
Marco Avellaneda a;
Antonio Par
S a
S 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
Formats available:
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(English)
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