# Piecewise constant Heston model Monte Carlo simulation

I am studying this time dependent Heston model $$\begin{equation} dS_t=(r-q) dt +\sqrt{V_t} dW_t^1 \\ dV_t=\kappa_t(\theta_t-V_t) dt + \sigma_t dW_t^2 \\ S_0=s_0\\ V_0=v_0\\ \rho_t= \end{equation}$$ I wrote a program using Elice method and tried to compare my result with Shamim Afshani paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1615153. Using Elice method I have a good matching with the paper, However my Monte Carlo routine seems not giving the results that I want. Below you find the example with python code.

For the initial values $$S0 = 1$$, $$V0 = 0.1$$ and the time points $$t_0 = 0$$, $$t_1 = 1$$, $$t_2 = 3$$ and $$t_3 = 5$$, we specify $$r_t = 0$$, $$q_t = 0$$, $$\theta_t = 0.1$$, $$\sigma_t = 1$$, $$\rho_t = -0.9$$ and $$\kappa_t =\sum_{m=1} \kappa_mI_{[t_{m-1} where $$\kappa_1 = 4$$, $$\kappa_2 = 2$$ and $$\kappa_3 = 1$$

Strike Afshani price Elice price Monte carlo Milstein price Monte carlo Broadie price
0.5 0.548724 0.548733 0.551647 0.547670
0.75 0.370421 0.370423 0.376329 0.3697154
1 0.230355 0.230357 0.23865 0.229919
1.25 0.129324 0.129328 0.138600 0.12882076
1.5 0.063974 0.063981 0.072626 0.063716

Is there any research paper that studies Monte Carlo time dependant Heston model with no feller condition