# Euler discretization bias, heston model

I am performing option pricing using Heston model and Euler discretization. I'm getting the following result:

1000    6.81982
500     6.85281
250     6.81557
200     6.78875
150     6.79469
100     6.77717
50      6.72955
30      6.68981
10      6.42615
10      6.41056


Where the first column denotes the number of discretization intervals, and the second one is an option price. Number of simulation paths is equal to 100000 and true option price is 6.8061 as in the following link:

https://www.quantstart.com/articles/Heston-Stochastic-Volatility-Model-with-Euler-Discretisation-in-C

What can be the reason for the decreasing option price when the number of discretization intervals is decreasing as well?

• possibly just error... have you checked the standard errors? Heston with Euler is notoriously unstable. See ssrn.com/abstract=1617187 and references therein – Mark Joshi Mar 7 '16 at 1:58