Bianconi, Marcelo; MacLachlan, Scott; Sammon, Marco - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 1-26
We numerically solve systems of Black–Scholes formulas for implied volatility and implied risk-free rate of return. After using a seemingly unrelated regressions (SUR) model to obtain point estimates for implied volatility and implied risk-free rate, the options are re-priced using these...