Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood

DOI10.1111/MAFI.12362MaRDI QIDQ6054440zbMATH OpenOpenAlexWikidataFDO

Authors David Lando, Søren Feodor Nielsen

Publication date 28 September 2023

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/mafi.12362

zbMATH Keywords

distance-to-defaultEM-algorithmKMV methodMerton model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Conditioning as disintegration
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

Cited in

(2)

• Quasi-maximum likelihood for estimating structural models
• Introducing and testing the Carr model of default

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