I wish to calibrate the Heston model parameters to a given smile. Trouble is, I have Heston implemented as a Monte Carlo simulation, and not some deterministic pricing function.
So, how do we calibrate a monte carlo simulation?
My idea was to generate all the random numbers I need in the monte carlo simulation, and then create a new pricing function which always uses these same numbers, so its deterministic. Then, we can run regular calibration on this function.
Would that be ok? Is there another method?