Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

@article{Intarasit2013MarkovRS,
  title={Markov Regime Switching of Stochastic Volatility L{\'e}vy Model on Approximation Mode},
  author={Arthit Intarasit},
  journal={J. Applied Mathematics},
  year={2013},
  volume={2013},
  pages={549304:1-549304:9}
}
This paper deals with financial modeling to describe the behavior of asset returns, through consideration of economic cycles together with the stylized empirical features of asset returns such as fat tails. We propose that asset returns are modeled by a stochastic volatility Lévy process incorporating a regime switching model. Based on the risk-neutral approach, there exists a large set of candidates of martingale measures due to the driving of a stochastic volatility Lévy process in the… CONTINUE READING