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Jump-Diffusion Calibration using Differential Evolution

David Ardia, Juan Ospina and Giraldo Giraldo

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Jump-diffusion; maximum likelihood; optimization; Differential Evolution (search for similar items in EconPapers)
JEL-codes: C13 C22 C61 C1 (search for similar items in EconPapers)
Date: 2010-10-16, Revised 2010-10-25
New Economics Papers: this item is included in nep-ecm
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https://mpra.ub.uni-muenchen.de/26184/1/MPRA_paper_26184.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/27852/2/MPRA_paper_27852.pdf revised version (application/pdf)

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