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I am trying to code a GARCH option pricing model in R. I am still new to R so this does seem a bit complicated.

I want to estimate an asymmetric GARCH model as well as an EGARCH model. This I have done somewhat successfully. However, now I have to find the option prices using Monte Carlo simulation.

The option to be priced is a plain vanilla Call option.

Does anyone know how to price such an option?

This would be greatly appreciated!

Best regards

August

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