GARCH

Name: GARCH
Works on: windows

Windows 7 and above

Version: 2
Last Updated: 26 Feb 2017
Release: 14 Dec 2009
Category: Others > Finances and Business

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245 downloads

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GARCH Tags

numerical integration numerical cumulant price calculation numerical integration cumulant calculation

GARCH Details

Works on: Windows 10 | Windows 8.1 | Windows 8 | Windows 7 | Windows 2012
SHA1 Hash: 7854ddd83b21816011d8953296ac50d555a4eeff
Size: 549.21 KB
File Format: exe

Rating: 1.869565217 out of 5 based on 23 user ratings

Publisher Website: External Link
Downloads: 245
License: Free

GARCH is a free software by JÃ¶rg Brunsmann and works on Windows 10, Windows 8.1, Windows 8, Windows 7, Windows 2012.
You can download GARCH which is 549.21 KB in size and belongs to the software category Finances and Business.
GARCH was released on 2009-12-14 and last updated on our database on 2017-02-26 and is currently at version 2.

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GARCH Description

GARCHÂ 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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