To see the impact of the choice of the objective function on parameter set obtained from calibration to the same data set,we redo the example done in this chapter under various different objective function. Use the option data given in Tables 25.1 and 25.2 to calibrate the variance gamma parameters for each maturity using out-of-the-money options for the following objective functions

Compare and conclude on your results.

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-Ci C. c8-Ci Ci) where w Cask chid) f. Σ21 toi (ce-ci)2 andai as before