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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