Malliavin Differentiability of CEV-Type Heston Model

Shota Tsumurai
2020 Journal of Mathematical Finance  
It is well known that Malliavin calculus can be applied to a stochastic differential equation with Lipschitz continuous coefficients in order to clarify the existence and the smootheness of the solution. In this paper, we apply Malliavin calculus to the CEV-type Heston model whose diffusion coefficient is non-Lipschitz continuous and prove the Malliavin differentiability of the model.
doi:10.4236/jmf.2020.101012 fatcat:yuvxuo2k2zcq5k6eo3sf5wocxu