Tail distribution estimates of the mixed-fractional CEV model

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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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
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

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