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Subject: Parameter Estimation for Black-Scholes/Jump Diffusion Model
Date: Wed, 22 Jul 2009 15:12:02 +0000 (UTC)
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Hi,

Could anyone help with parameter estimation for the afore mentioned models? I have data from the S&P 500 index for a month with all contributing data required - strike, maturity, underlying etc.  I would like a way to estimate the jump and volatility parameters for the Heston/Camara model and the BS implied volatility using the data.

Many Thanks,

Neil.