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Jump-diffusion calibration using Differential Evolution

David Ardia, Juan David Ospina & Juan David Giraldo Gomez

Résumé The estimation of a jump-diffusion model via Differential Evolution is presented. Finding the maximum likelihood estimator for such processes is a tedious task due to the multimodality of the likelihood function. The performance of the Differential Evolution algorithm is compared with standard optimization techniques.
   
Mots-clés Jump-Diffusion, Maximum Likelihood, Optimization, Differential Evolution
   
Citation Ardia, D., Ospina , J. D., & Giraldo Gomez, J. D. (2011). Jump-diffusion calibration using Differential Evolution. Wilmott Magazine, 55, 76-79.
   
Type Article de périodique (Anglais)
Date de publication 2011
Nom du périodique Wilmott Magazine
Volume 55
Pages 76-79
URL http://onlinelibrary.wiley.com/doi/10.1002/wilm.10034/abs...