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Karatzas, I. and Shreve, S.E. (1988) Brownian Motion and Stochastic Calculus. Springer-Verlag, New York, NY. https://doi.org/10.1007/978-1-4684-0302-2

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.