Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
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DOI: 10.1111/mafi.12362
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References listed on IDEAS
- Merton, Robert C, 1974.
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- Jin‐Chuan Duan, 1994. "Maximum Likelihood Estimation Using Price Data Of The Derivative Contract," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 155-167, April.
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