Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
This paper studies estimation of the implied volatility and the impact of the choice of the corresponding risk-free rate proxy. We suggest to analyse the implied volatility and the risk-free rate proxy inferred in conjunction with the observed option prices. We formulate and solve an overdefined sys...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Oxford University Press
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/45001 |