Fuzzy Levy-GJR-GARCH American option pricing model based on an infinite pure jump process
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...
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| Format: | Article |
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Institute of Electronics, Information and Communication, Engineers, IEICE
2018
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| 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/21467/ |
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