A note on the Malliavin differentiability of the Heston volatility

Elisa Alòs () and Christian-Oliver Ewald
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Elisa Alòs: https://www.upf.edu/web/econ/faculty/-/asset_publisher/6aWmmXf28uXT/persona/id/3418685

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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.

Keywords: Malliavin calculus; stochastic volatility models; Heston model; Cox-Ingersoll-Ross process (search for similar items in EconPapers)
JEL-codes: C19 E43 G12 G19 (search for similar items in EconPapers)
Date: 2005-08
New Economics Papers: this item is included in nep-fin and nep-mac
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Citations: View citations in EconPapers (2)

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