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Heston Nandi Option price 1.0

  Date Added: August 16, 2013  |  Visits: 362

Heston Nandi Option price

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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 interest rate.

Requirements: No special requirements
Platforms: Matlab
Keyword: Asset Based Calculates Current Daily Formula Function Garch Heston Input Interest Maturity Nandi Option Price Pricing Strike Unconditional Underlying Variance
Users rating: 0/10

License: Freeware Size: 10 KB
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