Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model-Reference-Cited by-同舟云学术

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

Published:1996-03 Issue:1 Volume:3 Page:21-52
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Avellaneda Marco,ParÁS Antonio

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/13504869600000002

Reference16 articles.

1. Pricing and hedging derivative securities in markets with uncertain volatilities

2. Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

3. Avellaneda, M. and Parás, A. (1995) Dynamic hedging with transaction costs: from lattice models to nonlinear volatility and free-boundary problems, Courant Institute working paper, submitted to Stochastics & Finance.

4. The Pricing of Options and Corporate Liabilities

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