In this paper, we proposed model for European option pricing using predicted cumulative probability distribution of hidden Markov Model. The Black-Scholes model is based on Gaussian distribution and the model's main shortfall is fat-tail problem. Because of fat-tail problem, the implied volatility surface is shaped skew, smirk or other forms. To correct model's drawback, we extract predicted cumulative distribution using hidden Markov Model and simulate the underlying price paths using Monte Carlo method. In the results, our model re ect current implied volatility surface suciently.