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From: Ayotunde on 29 May 2010 02:47
Hey guys am back again with my ineptitude. My questions this time is that i have this question below to do

generate a sample path with 2340001 (100 days of working hours data sampled every second) observations of Heston model using the following Euler approximation:
ln(pt+∆t) = ln(pt) + σt∆W (1) t+∆t
σ2 = σ2 + κ(θ − σ2)∆t + ξσ ∆W(2) t+∆tt t tt+∆t
with ∆W(1) and ∆W(2) generated from bivariate normal distribution

this is just part of the question. Part of the question explains how to get ∆W(1)and ∆W(2) from a bivariate normal distribution using mvnrnd which i have done but i don't know what do after this. How do generate the actual sample. This would help me figure out stuff for my project in which i have to do monte carlo analysis.
Thanks, any help would be appreciated
Ps. I have have also been given parameters to use for the generating process
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