Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 1214, doi. 10.1111/mafi.12362
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2022 AND VI 32 AND IP 4
Results: 9
1
2
The American put with finite‐time maturity and stochastic interest rate.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 1170, doi. 10.1111/mafi.12361
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- Publication type:
- Article
3
Asymptotic analysis of long‐term investment with two illiquid and correlated assets.
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- Mathematical Finance, 2022, v. 32, n. 4, p. 1133, doi. 10.1111/mafi.12360
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- Publication type:
- Article
4
Portfolio liquidation games with self‐exciting order flow.
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- Mathematical Finance, 2022, v. 32, n. 4, p. 1020, doi. 10.1111/mafi.12359
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- Publication type:
- Article
5
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 982, doi. 10.1111/mafi.12358
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- Publication type:
- Article
6
While stability lasts: A stochastic model of noncustodial stablecoins.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 943, doi. 10.1111/mafi.12357
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- Publication type:
- Article
7
Super‐replication with transaction costs under model uncertainty for continuous processes.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 1066, doi. 10.1111/mafi.12355
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- Publication type:
- Article
8
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 1086, doi. 10.1111/mafi.12354
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- Publication type:
- Article
9
Issue Information.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 941, doi. 10.1111/mafi.12319
- Publication type:
- Article