GARCH option pricing model to help you with your work.. #Numerical integration #Numerical cumulant #Price calculation #Numerical #Integration #Cumulant
GARCH is a simple, command line based implementation of the GARCH option pricing model by using numerical integration and cumulants.
The work of Heston/Nandi includes a closed-form option pricing formula for a spot asset whose variance follows a GARCH process.
Unfortunately, an efficient method for computing option prices in this Heston/Nandi framework was lacking, since the price calculation was executed by using methods of numerical integration for evaluation of integrals.
GARCH 2.0
add to watchlist add to download basket send us an update REPORT- runs on:
- Windows All
- file size:
- 536 KB
- filename:
- garch.exe
1 screenshot:
- main category:
- Others
- developer:
- visit homepage
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