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

Authors: Marco Avellaneda ^a; Antonio ParS ^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: Applied Mathematical Finance, Volume 3, Issue 1 March 1996 , pages 21 - 52

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

Formats available: PDF (English)

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