Monte Carlo Methods for Heston

[Cuchulainn]

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????

[Cuchulainn]

http://papers.ssrn.com/sol3/papers.cfm? ... erDownload