Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
Year of publication: |
October 2016
|
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Authors: | Hin, Lin-Yee ; Dokučaev, Nikolaj G. |
Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 4, p. 505-527
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Subject: | implied volatility | optimization | risk-free rate | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Diskontierung | Discounting | Mathematische Optimierung | Mathematical programming |
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