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Given that α =0,113079 β = 0,873884 ω = 0,0000081

Need the calculate a call price using garch volatility I alsa calculated the kurtosis = 235 enter image description here: https://www.researchgate.net/publication/265442526_A_Black-Scholes_model_with_GARCH_volatility enter image description here

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  • $\begingroup$ Wouldn’t that simply be $(E(\sigma_t^2))^2$? $\endgroup$ – Kermittfrog May 13 at 9:58
  • $\begingroup$ Cross posted (and answered) at Cross Validated here. $\endgroup$ – Richard Hardy May 14 at 11:22

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