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calibrate a jump diffusion model for arithmetic average options - repost

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

ThisIsMyDesign

Skills: Algorithm, Finance, Mathematics, Matlab and Mathematica, Statistics

See more: matlab jump diffusion, merton jump diffusion model, jump diffusion, freight options price modelling empirical analysis, std algorithm, greetings model, algorithm function, algorithm and analysis, mathematica price, market prices, stochastic process, panos, nikos, modelling and analysis, matlab for, lognormal, ioannis, empirical paper, calibration, mathematica function, stock market matlab, algorithm stock, matlab arithmetic, heston calibration, algorithm mathematica

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