Multi-basin particle swarm intelligence method for optimal calibration of parametric Lévy models

Expert Systems with Applications

Volumn 39, Issue 1, 2012, Pages 482-493

  Yang, Seungho ^a   Lee, Jaewook ^b  

^a Pohang University of Science and Technology (POSTECH)   (South Korea)

^b Seoul National University   (South Korea)

Author keywords

Dynamical systems; Global optimization; L vy models; Option pricing and calibration; Particle swarm intelligence

Indexed keywords

CALIBRATION; COSTS; DYNAMICAL SYSTEMS; ECONOMICS; FINANCIAL MARKETS; GLOBAL OPTIMIZATION;

CALIBRATION QUALITY; INTELLIGENT METHOD; OPTIMAL CALIBRATION; OPTION PRICE; OPTION PRICING; OPTION PRICING MODELS; PARAMETER SET; PARTICLE SWARM;

SWARM INTELLIGENCE;

EID: 81855166889     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2011.07.039     Document Type: Article

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