论文标题
广义Heston模型的Malliavin可差度
Malliavin Differentiability of the Generalized Heston Model
论文作者
论文摘要
众所周知，Malliavin微积分可以用Lipschitz连续系数应用于随机微分方程，以阐明溶液的存在和平滑度。在本文中，我们将Malliavin演算应用于CEV型Heston模型，该模型的扩散系数是非lipschitz连续的，并证明了该模型的Malliavin可不同性。
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 smoothness 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.
