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- W1502393727 abstract "We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates." @default.
- W1502393727 created "2016-06-24" @default.
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- W1502393727 date "2005-01-01" @default.
- W1502393727 modified "2023-10-16" @default.
- W1502393727 title "A Note on the Malliavin Differentiability of the Heston Volatility" @default.
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- W1502393727 doi "https://doi.org/10.2139/ssrn.847645" @default.
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