Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood (Q6054440)
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scientific article; zbMATH DE number 7743091
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| English | Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood |
scientific article; zbMATH DE number 7743091 |
Statements
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood (English)
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28 September 2023
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distance-to-default
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EM-algorithm
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KMV method
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Merton model
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0.7121644020080566
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0.7073119878768921
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0.7055115699768066
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0.7045706510543823
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0.6985092759132385
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