Implementation of the GARCH option pricing model by using numerical integration and cumulants.
VERSION HISTORY
- Version v2.0 posted on 2009-12-07
Several fixes and updates - Version v2.0 posted on 2009-12-07
Program Details
- Category: Network & Internet > Other
- Publisher: garchoptions.sf.net
- License: Free
- Price: N/A
- Version: 2.0
- Platform: windows