Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization

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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...

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Bibliographic Details
Main Authors:	Hin, L., Dokuchaev, Nikolai
Format:	Journal Article
Published:	Oxford University Press 2015
Subjects:	risk-free rate optimization Implied volatility
Online Access:	http://hdl.handle.net/20.500.11937/45001

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