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Regime Switching Rough Heston Model
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References

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  • 2010MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS128 cited
  • 2009Option pricing with regime switching by trinomial tree method

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118 cited
  • 2007Volatility in stock returns for new EU member states: Markov regime switching model73 cited
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