This repo contains the scripts related to the GARCH introduced in "A Closed Form GARCH Option Valuation Model" by Heston and Nandi (2000).
Main functions include:
- MLE of HN-GARCH parameters
- Simulation of future asset prices
- Montecarlo Simulation for option pricing
- Computation of CDF and PDF through Fourier Transform of the characteristic function
Future development include:
- Computation of Option Price with numerical integration