Fuzzy Levy-GJR-GARCH American option pricing model based on an infinite pure jump process

• Main Authors: Zhang, H., Watada, J.
• Format: Article
• Published: Institute of Electronics, Information and Communication, Engineers, IEICE 2018
• Online Access: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049399168&doi=10.1587%2ftransinf.2017EDP7236&partnerID=40&md5=0233d1bf1a07e145ab229697bef73074; http://eprints.utp.edu.my/20817/

This paper focuses mainly on issues related to the pricing of American options under a fuzzy environment by taking into account the clustering of the underlying asset price volatility, leverage effect and stochastic jumps. By treating the volatility as a parabolic fuzzy number, we constructed a Levy...