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A. Levy
Researcher at J.P. Morgan & Co.
Publications - 1
Citations - 728
A. Levy is an academic researcher from J.P. Morgan & Co.. The author has contributed to research in topics: Forward volatility & Volatility smile. The author has an hindex of 1, co-authored 1 publications receiving 703 citations.
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Pricing and hedging derivative securities in markets with uncertain volatilities
TL;DR: In this paper, the authors present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values σmin and σmax.