Hello everyone,
I would like to evaluate the Heston model using a Monte
Carlo simulation and get the values of the paths back, a kind of array [t, St],
or better to get the average of the paths at certain dates. I went through the sources
but I don’t see how to use the pricing engine for my purpose.
Does anyone have an idea to help me?
Thank you in advance and Have a nice weekend!
Regards,
Gilles
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