Tail distribution estimates of the mixed-fractional CEV model

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.

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Bibliographic Details
Published in:Open Journal of Mathematical Sciences 2021-12, Vol.5 (1), p.371-379
Main Authors: Hang, Nguyen Thu, Thuy, Pham Thi Phuong
Format: Article
Language:English
Online Access:Get full text
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Summary: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.
ISSN:2616-4906
2523-0212
DOI:10.30538/oms2021.0172