Malliavin Differentiability of the Generalized Heston Model
Probability
2020-03-04 v1
Abstract
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 smoothness 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.
Cite
@article{arxiv.2003.01523,
title = {Malliavin Differentiability of the Generalized Heston Model},
author = {Shota Tsumurai},
journal= {arXiv preprint arXiv:2003.01523},
year = {2020}
}
Comments
27 pages, accepted by Journal of Mathematical Finance