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

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Juan David Ospina

National University of Colombia

Norman Diego Giraldo Gomez

National University of Colombia

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

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

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Juan David Ospina

National University of Colombia ( email )

Carrera 30 45-03
Medellin, None
Colombia

Norman Diego Giraldo Gomez

National University of Colombia ( email )

Carrera 30 45-03
Bogota, None
Colombia

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