Journal of Applied Mathematics / 2013 / Article / Fig 2

Research Article

Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

Figure 2

Calibration results for model (56) with two independent regimes fitted to the SET index log prices. The prices jump is denoted by dots in the upper panel and the lower panel shows the conditional probability of beginning of the jump regime.

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