Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model

摘要

In this paper we consider a generalized Ait-Sahalia interest rate model. We first extend the space of admissible parameters that ensures the existence of a unique positive solution to the model. Then, we provide an explicit estimate for tail probabilities of solutions. (C) 2016 Elsevier B.V. All rights reserved.