Jump-Diffusion Calibration using Differential Evolution
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.
|Date of creation:||16 Oct 2010|
|Date of revision:||25 Oct 2010|
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- Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2011.
"DEoptim: An R Package for Global Optimization by Differential Evolution,"
Journal of Statistical Software,
Foundation for Open Access Statistics, vol. 40(i06).
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