Essays about: "HN GARCH"
Found 2 essays containing the words HN GARCH.
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1. Implementation of Heston-Nandi GARCH model on OMXS30
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. READ MORE
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2. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. READ MORE