calibrate a jump diffusion model for arithmetic average options
€12-18 EUR / hour
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Publicado hace casi 11 años
€12-18 EUR / hour
Hello,
I need to calibrate a jump diffusion model on freight option market prices in Matlab.
The model i need to calibrate is based on the Merton Jump Diffusion Model. The difference lies in application for asian (arithmetic averaged) options. The model is published in the paper: NIKOS K. NOMIKOS, IOANNIS KYRIAKOU, NIKOS C. PAPAPOSTOLOU, AND PANOS K. POULIASIS - FREIGHT OPTIONS: PRICE MODELLING AND EMPIRICAL ANALYSIS (2011)
The Model is driven by two stochastic processes: the underlying and a poisson process which describes the jumps of the underlying. It has four parameters (std of lognormal jump process, mean of lognormal jump process, intensity of jumps, vola of stock price) which need to be calibrated.
I have the basic calibration framework (Matlab) for another option price model (Heston closed form) and i need to implement the characteristic function which is given in the paper.
Greetings
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