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

Algorithm 2

Pseudocode of the stock price processes .

Data: Partitions , Families and Step Processes for , Discretization

   level , Number of Stocks

Result: Stock Prices ,

(1) Merge()   Create the finest partition    from the partitions  

(2) Length()   is the length of  

(3) for to do

(4)    for to do

(5)       Itô-Taylor ()  Simulation of    in the finest

       partition    using some Itô-Taylor approximation method

(6)   Approximation of    as a function of the simulated