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Jump-diffusion calibration using Differential Evolution
Auteur(s)
Date de parution
2011
In
Wilmott Magazine
No
55
De la page
76
A la page
79
Revu par les pairs
1
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.
Identifiants
Type de publication
journal article
