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Jump-Diffusion Calibration using Differential Evolution

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

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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.

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