Windows · Free download · General
GARCH2.0
GARCH : GARCH option pricing model to help you with your work.
- Operating system
- Windows 10/11
- File size
- 536 KB
- License
- GNU Public License
- Last updated
- Nov 16, 2023
82 downloads·536 page views
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Overview
What is GARCH?
GARCH : GARCH option pricing model to help you with your work.
In depth
A closer look at GARCH
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.
Verdict
Should you download GARCH?
GARCH runs on Windows 10/11 and is available under the GNU Public License license — the installer is 536 KB. We’ve catalogued it under General.
Verified clean. Every GARCH build on SoftLookup is scanned for viruses, spyware, adware, trojans and backdoors. We re-test on every update.
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At a glance
GARCH specifications
- Category
- General
- Publisher
- Jِrg Brunsmann
- Last updated
- Nov 16, 2023
- License
- GNU Public License
- Operating system
- Windows 10/11
- File size
- 536 KB
- Price
- Free
- Page views
- 536
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