Heston Nandi option pricing with Maximum Likelihood Estimation

[paolotrade]

Hi everyone, i have a problem.

I have to use heston and nandi option pricing model. I have VBA code for this model but i don't have the code of MLE method to estimate the parameters (alpha, Beta, omega, gamma). Is there someone could help me? thank u...

 

[Eugene Krel]

http://lmgtfy.com/?q=heston+and+nandi+option+pricing+model

 

[paolotrade]

Thanks eugene but i try to search in google but i don't find anything. I'm looking for some file .xls or matlab... thanks

 

[daleholborow]

Er... if you click Eugene's link, there are plenty of results that appear to be promising, and written in matlab?

 

[Andy Nguyen]

http://www.quantnet.com/forum/threads/heston-and-nandi-model-2000.2737/
I fixed the title of this thread which is not descriptive at all.

 

[paolotrade]

I looked at that thread but there isn't my solution. I need MLE code to estimate alpha beta gamma & omega from a time series of returns... Only the MLE code (.xls or matlab) not the Heston-Nandi model...