Jump-Diffusion Calibration using Differential Evolution
AbstractThe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26184.
Date of creation: 16 Oct 2010
Date of revision: 25 Oct 2010
Jump-diffusion; maximum likelihood; optimization; Differential Evolution;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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