Jump-Diffusion Calibration using Differential Evolution
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References listed on IDEAS
- 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).
- Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2009. "DEoptim: An R Package for Global Optimization by Differential Evolution," MPRA Paper 21743, University Library of Munich, Germany, revised 26 Dec 2010.
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010. "Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization," MPRA Paper 22135, University Library of Munich, Germany.
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- Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013.
"Mortality surface by means of continuous time cohort models,"
Insurance: Mathematics and Economics,
Elsevier, vol. 53(1), pages 122-133.
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More about this item
KeywordsJump-diffusion; maximum likelihood; optimization; Differential Evolution;
- 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; Diffusion Processes
- 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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