Message-ID: <54690D54.7090607@univ-paris1.fr>
Date: 2014-11-16T20:47:16Z
From: P. Henaff
Subject: Heston Simulation
In-Reply-To: <mailman.3.1416135601.13229.r-sig-finance@r-project.org>
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
+33 (0)1 53 55 27 70
+33 (0)6 01 30 13 57
skype: pahenaff
8th R/Rmetrics conference in Paris | June 26-28, 2014
https://sites.google.com/site/rmetricsparis2014
Reproducible research in quantitative finance
www.zanadu.io
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