Concepedia

Saikat Nandi

SN

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Publications

11

Citations

1.6K

H-Index

11

Active since

1996

Affiliations

University of Maryland, College Park(Current)

Federal Reserve Bank of Atlanta

Saikat Nandi is an author at University of Maryland, College Park specializing in financial economics, finance, and business.

Publications per year

1996–2003

11

Publications

11

A Closed-Form GARCH Option Valuation Model

Steven L. Heston, Saikat Nandi · Review of Financial Studies · 2000 · 981 citations

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A Closed-Form GARCH Option Pricing Model

Steven L. Heston, Saikat Nandi · SSRN Electronic Journal · 1998 · 171 citations · Full text

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How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market

Saikat Nandi · Journal of Banking & Finance · 1998 · 104 citations

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A Closed-Form GARCH Option Valuation Model

Steven L. Heston, Saikat Nandi · SSRN Electronic Journal · 2000 · 95 citations · Full text

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Equity Home Bias: Can Information Cost Explain the Puzzle?

Saikat Nandi, Daniel F. Waggoner · Econometric Reviews · 2001 · 74 citations

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