I want to replicate the paper of Duan (1995) "The GARCH option pricing model" (DOI: doi.org/10.1111/j.1467-9965.1995.tb00099.x)
Do you know if there is any way to use rugarch library , or any other library, to run the model as stated in the paper? The mean and variance of the model are as follows:
Unfortunately with ugarchspec I am not really sure how I can specify the mean model as above and the special GARCH model as well.