Heston Simulation

Hi Jun,

Take a look a Leif Andersen's paper "Efficient Simulation of the Heston 
Stochastic Volatility Model", available on SSRN. He has the whole story.

Hope this helps


Patrick H?naff
Ma?tre de Conf?rences
IAE Paris
Universit? Paris I | Panth?on Sorbonne

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