Jump-Diffusion Calibration Using Differential Evolution
Wilmott Magazine, Issue 55, pp. 76-79, September 2011
6 Pages Posted: 10 Oct 2010 Last revised: 14 Nov 2017
Date Written: April 19, 2011
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
JEL Classification: C13, C22, C61
Suggested Citation: Suggested Citation