Dear Moeti Ncube
Thanks for your code, it does help me a lot!
But I have a question for results.
In general, the simulated price should be very close to the Heston model price, right?
But why it seem that there is a gap between "simhes" and "modhes"?
In Heston model, If the parameters obey 2*kappa*theta> sig (known as the Feller condition) then the process volatility is strictly positive. When I run your codes even using your marketdata, calibrated parameters violate the feller condition. Could you please explain why it is so and probably fix it if possible.
Thanks in advance