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 with standard optimization techniques

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Year of publication:	2017
Authors:	Ardia, David
Other Persons:	Ospina, Juan David (contributor) ; Giraldo Gomez, Norman Diego (contributor)
Publisher:	[2017]: [S.l.] : SSRN

Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Wilmott Magazine, Issue 55, pp. 76-79, September 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 19, 2011 erstellt
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012976344