We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems … based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation … framework for asset prices under general stochastic local volatility (SLV) models arising in finance, which includes the Heston …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … preferred discretisation method for simulation of the Heston model and extensions thereof. …