Risk-neutral parameter estimation of option prices using non-linear least squares in R (or matlab)
I am using the option pricing formula of Carr-Madan option pricing (1999)under the Variance Gamma process to find option prices. Now, I want to estimate the parameters (theta, sigma, nu), such that my model prices fit actual market option data. To do this I want to use the non-linear least square method (as proposed in Rachev (2011)).