Luo, Shangzhen; Zeng, Xudong - In: Quantitative Finance 14 (2014) 9, pp. 1651-1661
We consider a multi-stock market model. The processes of stock prices are governed by stochastic differential equations with stock return rates and volatilities driven by a finite-state Markov process. Each volatility is also disturbed by a Brownian motion; more exactly, it follows a...