Building Fuzzy Levy-GJR-GARCH American Option Pricing Model - researchr publication related

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Huiming Zhang, Junzo Watada. Building Fuzzy Levy-GJR-GARCH American Option Pricing Model. In Hirosato Seki, Canh Hao Nguyen, Van-Nam Huynh, Masahiro Inuiguchi, editors, Integrated Uncertainty in Knowledge Modelling and Decision Making - 7th International Symposium, IUKM 2019, Nara, Japan, March 27-29, 2019, Proceedings. Volume 11471 of Lecture Notes in Computer Science, pages 197-209, Springer, 2019. [doi]

The following publications are possibly variants of this publication:

Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump ProcessHuiming Zhang, Junzo Watada. ieicet, 101-D(7):1843-1859, 2018. [doi]

Building Fuzzy Variance Gamma Option Pricing Models with Jump Levy ProcessHuiming Zhang, Junzo Watada. kesidt 2018: 105-116 [doi]

A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH ModelsXiang Shi, Lihua Zhang, Young S. A. Kim. fams, 1:13, 2015. [doi]

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