TITLE:
Malliavin Differentiability of CEV-Type Heston Model
AUTHORS:
Shota Tsumurai
KEYWORDS:
Malliavin Calculus, Mathematical Finance, Stochastic Volatility Model, Constant Elasticity of Variance Model
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.10 No.1,
February
26,
2020
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 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.