Monte Carlo (MC) simulation is a powerful technic to valuate option, but few literature discuss option pricing under stochastic volatility model (SVM). In this paper, we apply MC method to price European options under SVMs. Firstly, given correlative coefficient, a formula generating norm distribution random variables is established. Then, MC scheme is proposed for pricing European options under Heston, Hull-White and Hyper-geometric models. Numerical experiments illustrate the efficiency and accuracy of MC algorithm. With large number of simulated paths and time partition, MC solutions become stable. The proposed MC method can be extended to general option pricing, such as local stochastic volatility models and so on.
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