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

Research output: Contribution to journalArticle

Original languageEnglish (US)
JournalApplied Mathematical Finance
StatePublished - 1996

Cite this

@article{0579327881ce4d7e93bd83bc63418761,
title = "Managing the volitility risk of portfolios of derivative securities: The Lagrangian uncertain volatility model",
author = "Marco Avellaneda and A. Paras",
year = "1996",
language = "English (US)",
journal = "Applied Mathematical Finance",
issn = "1350-486X",
publisher = "Routledge",

}

TY - JOUR

T1 - Managing the volitility risk of portfolios of derivative securities

T2 - The Lagrangian uncertain volatility model

AU - Avellaneda, Marco

AU - Paras, A.

PY - 1996

Y1 - 1996

M3 - Article

JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

SN - 1350-486X

ER -