Download This PaperJump-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
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
JEL Classification: C13, C22, C61
Suggested Citation: Suggested Citation
Ardia, David and Ospina, Juan David and Giraldo Gomez, Norman Diego, Jump-Diffusion Calibration Using Differential Evolution (April 19, 2011). Wilmott Magazine, Issue 55, pp. 76-79, September 2011, Available at SSRN: https://ssrn.com/abstract=1689829
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