[R-SIG-Finance] Heston Simulation

[jun wang]

Thank you!!

On Sun, Nov 16, 2014 at 3:47 PM, P. Henaff <henaff.iae at univ-paris1.fr>
wrote:

> 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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