A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility

Algorithm 1

Pseudocode of the stopping times and step processes .

 Data: Maturity Time , Discretization level

 Result: Vector of stopping times , family , step processes

(1) Burq and Jones (, )  Vector of  -stopping times generated by

the algorithm described by Burq and Jones [8]

(2) Length()    is the length of  

(3)

(4)

(5) for to do

(6)    Sample one element from Bernoulli ()

(7)