Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model (Q4541530): Difference between revisions
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| Property / author | |||
| Property / author: Marco Avellaneda / rank | |||
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| Property / author: Marco Avellaneda / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1080/13504869600000002 / rank | |||
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| Property / OpenAlex ID: W2093077581 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Q4794153 / rank | |||
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| Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
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| Property / cites work: Q3374309 / rank | |||
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Latest revision as of 11:06, 4 June 2024
scientific article; zbMATH DE number 1771931
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model |
scientific article; zbMATH DE number 1771931 |
Statements
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model (English)
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1996
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