Nandi freeware
Nandi
Added: August 16, 2013 | Visits: 846
this function calculates the price of Call option based on the GARCH option pricing formula of Heston and Nandi(2000). The input to the function are: current price of the underlying asset, strike price, unconditional variance of the underlying asset, time to maturity in days, and daily risk free...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (53): Heston Nandi Option price Download |