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

DOI10.1093/IMAMAN/DPV007MaRDI QIDQ5382702zbMATH OpenOpenAlexFDO

Authors Lin-Yee Hin, Nikolai Dokuchaev

Publication date 18 June 2019

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11937/45001

zbMATH Keywords

implied volatilityoptimizationrisk-free rate

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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