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Heston model - Monte Carlo simulation

Posted by gbogaert on Nov 06, 2009; 5:19pm
URL: http://quantlib.414.s1.nabble.com/Heston-model-Monte-Carlo-simulation-tp8160.html

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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