[R-SIG-Finance] Heston Simulation

[P. Henaff]

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 Hénaff
Maître de Conférences
IAE Paris
Université Paris I | Panthéon Sorbonne

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