Monte Carlo Methods for Heston

Building Customisable High Performance C++ Applications

Monte Carlo Methods for Heston

Postby Cuchulainn » Mon Oct 22, 2007 5:57 am

I have done all 3 SDEs in Heston using Euler:



1. canonical

2. log(S)

3. explicit correlation in SDE



and I get the same answer! but not as good as QE. Still, the code I write is a good example of using C++ namespaces. and a good counterexample!!!



BTW I do not get NEGATIVE VALUES with Euler. What am I doing WRONG? Any more heston test data????
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Cuchulainn
 
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Papers

Postby Cuchulainn » Mon Oct 22, 2007 6:00 am

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