Dear All:

I tried to write the code by myself to compute the option prices of Heston
Nandi's Garch option model instead of using the function provided by
HNGOption() in fOption package. However, as I'm not a professional
programmer, the codes I have written run so slow to obtain the result. I
used discrete Fourier transform to deal with the integration part in
Heston's closed form formula. Maybe that is not a good way to compute the
option price. Is there any faster way to compute the HNG prices? I have
tried HNGOption and found that function runs pretty fast. Can anyone provide
hints on how to write the codes that make HNGOption function run faster?
That would be nice if original author can assist me in this part.

Best regards,

Weir

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