Baldeaux, Jan; Roberts, Dale - Finance Discipline Group, Business School - 2012
In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on … improve the effectiveness of quasi-Monte Carlo methods, cannot be employed in the context of path-dependent options when the … underlying price process follows the Heston model. Consequently, we tailor quasi-Monte Carlo methods directly to the Heston model …