Munich Personal RePEc Archive

Jump-Diffusion Calibration using Differential Evolution

Ardia, David and Ospina, Juan and Giraldo, Giraldo (2010): Jump-Diffusion Calibration using Differential Evolution.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_27852.pdf

Download (364Kb) | Preview

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 to standard optimization techniques.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.