Abstract-A new discretization scheme ES-QE by combining the exact simulation (ES) and quadratic exponential (QE) scheme is proposed to simulate the volatility process and price process of the Heston model. Performances of new scheme are investigated via European option valuation with Monte-Carlo method. Numerical results show that the ES-QE scheme has a convergent mean-squared-root error with its operating accuracy higher than QE schemes and the efficiency much higher than ES'.
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