Saikat Nandi

Federal National Mortgage Association (Fannie Mae)

3900 Wisconsin Avenue, NW

Washington, DC 20016-2892

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 6,349

SSRN RANKINGS

Top 6,349

in Total Papers Downloads

7,430

SSRN CITATIONS
Rank 18,228

SSRN RANKINGS

Top 18,228

in Total Papers Citations

26

CROSSREF CITATIONS

26

Scholarly Papers (7)

1.

A Closed-Form GARCH Option Pricing Model

97-9
Number of pages: 34 Posted: 08 Jun 1998
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 3,605 (3,001)
Citation 16

Abstract:

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A Closed-Form GARCH Option Valuation Model

Number of pages: 73 Posted: 17 Jul 2000
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 2,042 (7,698)
Citation 28

Abstract:

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A Closed-Form GARCH Option Valuation Model

Posted: 28 Feb 2000
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)

Abstract:

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3.

Derivatives on Volatility: Some Simple Solutions Based on Observables

Federal Reserve Bank of Atlanta WP No. 2000-20, November 2000
Number of pages: 21 Posted: 07 Nov 2000
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 1,584 (11,883)
Citation 23

Abstract:

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volatility, options, hedge

4.

A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility

FRB Atlanta Working Paper Series No. 99-20, Robert H. Smith School Research Paper No. RHS 2491281
Number of pages: 31 Posted: 25 Jan 2015
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 134 (233,603)
Citation 3

Abstract:

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GARCH, volatility, bonds, options

5.

Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach

FRB Atlanta Working Paper Series No. 98-20, Robert H. Smith School Research Paper No. RHS 2511422
Number of pages: 12 Posted: 25 Jan 2015
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 65 (372,239)
Citation 5

Abstract:

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volatility, path-dependent, options, closed-form

6.

Asymmetric Information About Volatility and Option Markets

WP 95-19
Posted: 01 Jul 1998
Saikat Nandi
Federal National Mortgage Association (Fannie Mae)

Abstract:

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7.

Pricing and Hedging Index Options Under Stochastic Volatility: An Empirical Examination

Federal Reserve Bank of Atlanta Working Paper No. 96-9
Posted: 24 Sep 1996
Saikat Nandi
Federal National Mortgage Association (Fannie Mae)

Abstract:

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