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Andersen, L.G.B. and Piterbarg, V.V. (2006) Moment Explosions in Stochastic Volatility Models. Finance and Stochastics, 11, 29-50.
https://doi.org/10.1007/s00780-006-0011-7

has been cited by the following article:

• 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.