2020/03/01 by Shota Tsumurai, Tsumurai, Shota
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · pdf · doi:10.48550/arxiv.2003.01523
openalex publication_date 2020/03/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.