I've been reading through Heston's work and different Monte Carlo extensions of it and it seems very interestingly flexible. I've mainly used an application of it for pricing Memory Autocalls. Am I wrong to assume that it would work for pricing any vanilla/exotic option ?


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    $\begingroup$ Technically, any model might be used to price any option. But does that model allow to recover the market prices, not necessarily. For instance if you use Heston to price vanillas, you will never perfectly recover the market prices... does that mean it does not work to price vanillas? $\endgroup$ – Quantuple Oct 9 '20 at 10:23

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