I fit the parameters of Heston model, using option data for SPX. Now I have the process S and P 500 is expected to follow. I make 100,000 simulations of this process and then calculate the expected return. The average of lowest 1% return is 99%-CVAR.
Why does the method not work. I get that I can not calibrate r the drift of S&P 500 because of risk neutral measure thing. But say I somehow use MLE or MM to get estimates for the drift. Will this method work.