Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
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DOI: 10.1016/j.spl.2016.01.026
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References listed on IDEAS
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Cited by:
- Emmanuel Coffie, 2021. "Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations," Papers 2103.07651, arXiv.org, revised Jul 2021.
- Emmanuel Coffie, 2021. "Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay," Papers 2107.03712, arXiv.org, revised Jul 2021.
- Kęstutis Kubilius & Aidas Medžiūnas, 2020. "Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient," Mathematics, MDPI, vol. 9(1), pages 1-14, December.
- Nguyen, Tien Dung, 2018. "Tail estimates for exponential functionals and applications to SDEs," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4154-4170.
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Keywords
Ait-Sahalia model; Tail probabilities; Malliavin calculus;All these keywords.
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