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Alos, E. and Ewald, C.O. (2008) Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing. Advances in Applied Probability, 40, 144-162.
https://doi.org/10.1239/aap/1208358890

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.