GARCH GARCH option pricing model to help you with your work.
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GARCH Tags

integration numerical integration numerical cumulant price calculation numerical cumulant option pricing check pricing Pricing Strategies pricing plans pricing model pricing Capital asset pricing model option pricing spreadsheet

GARCH Description

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.

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