This is an implementation of Heston's stochastic volatility model using a Monte Carlo simulation. Variance is reduced with either antithetic paths or with quasi-random variates from the NAG library.
Monte Carlo Simulation
This is an implementation of Heston's stochastic volatility model using a Monte Carlo simulation. Variance is reduced with either antithetic paths or with quasi-random variates from the NAG library.
Monte Carlo Simulation
Other