Heston and Nandi model (2000)

[optionpric]

hello guys, I am an italian student and I am looking for an help abouth the implementation of the Heston and Nandi model about option pricing. the paper is of the 2000 and it is about a NGARCH model used for estimate the volatility of the underlying asset and after there is a closed formula....I need help thanks a lot I need matlab code I 'd want to know how estimate a NGARCH model thanks a lot bye

 

[Andy Nguyen]

You may want to attach the paper here or post a link to that paper. It is considered good ettique if you are asking for help. It also increases the chance of people actually look at the problem.

 

[optionpric]

Here there is the workpaper ......I am looking for some help about implementation of the model in matlab.Thanks a lot

 

[Pulco]

may be you can find what you look for in this paper :

http://www.quant-press.com/articles/QuantitativeFinanceCollector.pdf

Also look in this section, there are a lot of things about the heston model :

The Quantitative Finance Library

 

[optionpric]

Thanks a lot but I didn t find what I need...I have to estimate a NGARCH model with matlab and after use the parameter in HN model

 

[Pulco]

You have an implementation of the Heston Nandi model in VBA in this book :

Option Pricing Models and Volatility ... - Google Livres

You can see some piece of code and some explainations in this link.

It can help you to start I think.

 

[optionpric]

Thanks a lot ..I am not practical with VBA language ..I use matlab it is difficult to translate the code? in matlab code?

 

[optionpric]

I found this routine for matlab but my problem is another.....I dont know how estimate a NGARCH for the volatility and the lambda risk premium in the equation for the log returns..If u have idea of how to do this let me know

 

[optionpric]

Here there is the model I want to estimate thanks a lot

 

[shanminglo]

Hi all dears:
I think my question is quite similar with that of OPTIONPRICs except what i want to know is how to esitmate the parameters of the Heston & Nandi(2000) using Maximum Likelihood Estimation in matlab.
Does anyone know how to achieve it or have any matlab codes for reference??
Thanks in advance for any help

 

[Pulco]

I didn't look into the details but in theory you have to compute the corresponding log likelihood function (thanks to the density of your model), and then set its derivatives, toward each parameters, to zero to find expressions for the estimated parameters.

 

[optionpric]

Hi guys

I came back! after a year of absence...I found in R a package named fOptions and there u can estimate the HN model and also u can price the options with the same parameters estimated....

 

[poeddel]

hi optionpric,
I saw the package in R, too. But I don't see how one can estimate the parameters of the GARCH model. I want to price an option based on the model of Heston Nandi. Before that is possible I need to estimate the Garch parameters from my time series. How did you do it? Please help me! Thanks

 

[HyperVolatility]

hi optionpric,
I saw the package in R, too. But I don't see how one can estimate the parameters of the GARCH model. I want to price an option based on the model of Heston Nandi. Before that is possible I need to estimate the Garch parameters from my time series. How did you do it? Please help me! Thanks

I dont use R but in the case you don't find the MLE code there you can estimate GARCH parameters using Excel Solver even if it is not extremely accurate

www.hypervolatility.com