Building Fuzzy Variance Gamma Option Pricing Models with Jump Levy Process

Huiming Zhang, Junzo Watada. Building Fuzzy Variance Gamma Option Pricing Models with Jump Levy Process. In Ireneusz Czarnowski, Robert J. Howlett, Lakhmi C. Jain, editors, Intelligent Decision Technologies 2017 - Proceedings of the 9th KES International Conference on Intelligent Decision Technologies (KES-IDT 2017) - Part II, Algarve, Portugal, June 21-23, 2017. Volume 73 of Smart Innovation, Systems and Technologies, pages 105-116, Springer, 2017. [doi]

Abstract

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