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- W3123735875 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.
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- W3123735875 date "2005-08-01" @default.
- W3123735875 modified "2023-09-23" @default.
- W3123735875 title "A note on the Malliavin differentiability of the Heston volatility" @default.
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