- Joined
- 6/25/13
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Hello,
i'm working on my master thesis and i would like to implement heston-nandi model.
The idea is to use BS as benchmark to compare how HN-GARCH is better to estimate option price. And i would like to use another Garch process like EWMA to see if it's still better than BS model.
So i have found R Package named "fOptions" http://cran.r-project.org/web/packages/fOptions/fOptions.pdf but i have never used R before and i don't have quantitative and programming back ground.
So i would like to know if you know an easier way to do this work ?
Do you think i should simulate a serie or use real data ? (i mean it will be easier to compare which model fit the real price) ?
Thanks for help