Hang, Nguyen Thu and Thuy, Pham Thi Phuong (2021) Tail distribution estimates of the mixed-fractional CEV model. Open Journal of Mathematical Sciences, 5 (1). pp. 371-379. ISSN 26164906
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Official URL: https://doi.org/10.30538/oms2021.0172
Abstract
The aim of this paper is to study the tail distribution of the CEV model driven by Brownian motion and fractional Brownian motion. Based on the techniques of Malliavin calculus and a result established recently in [1], we obtain an explicit estimate for tail distributions.
Item Type: | Article |
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Subjects: | Pustaka Library > Mathematical Science |
Depositing User: | Unnamed user with email support@pustakalibrary.com |
Date Deposited: | 05 Jun 2023 05:56 |
Last Modified: | 10 Jan 2024 04:33 |
URI: | http://archive.bionaturalists.in/id/eprint/1051 |