Heston Nandi Option price 1.0

Date Added: August 16, 2013 | Visits: 840

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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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