Explicit cubature method in Heston model

In this paper we demonstrate one of the most recent methods in financial engineering called Cubature on Wiener space developed by Lyons and Victoir and its applications for Heston model. This model is theoretically a contender to classical models that relies on Monte Carlo simulation method, and has accuracy up to degree 5 of iterated Stratonovich integrals of Wiener process. Contribution of this paper could be seen in the solving of ODEs in finance in order to get the price of contingent claim