Heston Nandi Option price

Version 1.0.0.0 (1.91 KB) by Ali Boloorforoosh
the GARCH % option pricing formula of Heston and Nandi(2000)
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1.6K Downloads
Updated 17 May 2010

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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.

Cite As

Ali Boloorforoosh (2024). Heston Nandi Option price (https://www.mathworks.com/matlabcentral/fileexchange/27644-heston-nandi-option-price), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006a
Compatible with any release
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Version Published Release Notes
1.0.0.0