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Malliavin Differentiability of CEV-Type Heston Model
Graduate School of Mathematics, Keio University, Yokohama-shi, Kanagawa, Japan
- 1 Graduate School of Mathematics, Keio University, Yokohama-shi, Kanagawa, Japan
Journal of Mathematical Finance·Volume 10 (2019)·Pages 173–199·Published 12 December 2019·DOI10.4236/jmf.2020.101012
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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.
KeywordsMalliavin CalculusMathematical FinanceStochastic Volatility ModelConstant Elasticity of Variance Model
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