I’m working on Monte Carlo simulation for the Heston model (option pricing) and currently using Andersen’s QE scheme as the baseline. I’ve also implemented the Abi Jaber polynomial scheme. On paper, QE seems more established and widely benchmarked, but AJ is cleaner and avoids regime switching.
For those who’ve tried both: is there any practical reason to choose Abi Jaber over Andersen QE in MC pricing? Accuracy? Stability near zero? Runtime? Curious what people have seen in real applications.