Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode.

Arthit Intarasit

Published in: J. Appl. Math. (2013)

Keyphrases

closed form
mathematical model
stochastic model
computational model
markov chain
probabilistic model
experimental data
monte carlo sampling
semi markov
markov model
hybrid model
empirically derived
markov process
stochastic process
autoregressive
high level
conceptual model
similarity measure