A note on essential smoothness in the Heston model

²Department of Mathematics, TU Berlin, Germany
(email: jacquier@math.tu-berlin.de)

³Department of Statistics, University of Warwick, UK
(email: a.mijatovic@warwick.ac.uk)

Abstract This note identifies a gap in the proof of Corollary 2.4 in [2], which arises
because the essential smoothness of the family (X_t/t)_t>1 can fail for the log-spot
process X in the Heston model, and describes how to circumvent the issue by applying
a standard argument from large deviation theory

Key words: Essential smoothness · large deviation principle · Heston model