Calibration of jump diffusion model
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Hi, I'd like to calibrate a jump diffusion model to corporate bond price.
In the bond price formula, there is also triple integration component which I calculated using triplequad function when I did bond sensitivity analysis.
I'm thinking of using the lsqnonlin function to calibrate the function to bond price.
The problem is, how do I incorporate the triplequad function? Do I have to rewrite the integration part in the code instead of using the triplequad function?
Thank you.
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