A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf
.
Malliavin Differentiability of CEV-Type Heston Model
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