Jump-diffusion calibration using Differential Evolution
David Ardia, Juan David Ospina & Juan David Giraldo Gomez
| Abstract |
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. |
| Keywords |
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 | Journal article (English) |
| Date of appearance | 2011 |
| Journal | Wilmott Magazine |
| Volume | 55 |
| Pages | 76-79 |
| URL | http://onlinelibrary.wiley.com/doi/10.1002/wilm.10034/abs... |