Huiming ZHANG


Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump Process
Huiming ZHANG Junzo WATADA 
Publication:   
Publication Date: 2018/07/01
Vol. E101-D  No. 7  pp. 1843-1859
Type of Manuscript:  PAPER
Category: Fundamentals of Information Systems
Keyword: 
American optionfuzzy set theoryfuzzy simulation technologyLevy processGJR-GARCH modelleast squares Monte Carlo approachbinomial tree methodquasi-random numberBrownian Bridge approach
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