Building Fuzzy Levy-GJR-GARCH American Option Pricing Model

Lecture Notes in Computer Science - Integrated Uncertainty in Knowledge Modelling and Decision Making ◽

10.1007/978-3-030-14815-7_17 ◽

2019 ◽

pp. 197-209

Author(s):

Huiming Zhang ◽

Junzo Watada

Keyword(s):

Option Pricing ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Option Pricing Model

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Tests of an American Option Pricing Model on the Foreign Currency Options Market

Journal of Financial and Quantitative Analysis ◽

10.2307/2330710 ◽

1987 ◽

Vol 22 (2) ◽

pp. 153 ◽

Author(s):

James N. Bodurtha ◽

Georges R. Courtadon

Keyword(s):

Option Pricing ◽

Foreign Currency ◽

American Option ◽

Options Market ◽

Pricing Model ◽

American Option Pricing ◽

Currency Options ◽

Option Pricing Model

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Extreme values for solution to uncertain fractional differential equation and application to American option pricing model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2019.122357 ◽

2019 ◽

Vol 534 ◽

pp. 122357 ◽

Author(s):

Ting Jin ◽

Yun Sun ◽

Yuanguo Zhu

Keyword(s):

Differential Equation ◽

Option Pricing ◽

Fractional Differential Equation ◽

Extreme Values ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Option Pricing Model ◽

Fractional Differential

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The Stability Analysis of Predictor–Corrector Method in Solving American Option Pricing Model

Computational Economics ◽

10.1007/s10614-015-9483-x ◽

2015 ◽

Vol 47 (2) ◽

pp. 255-274 ◽

Author(s):

R. Kalantari ◽

S. Shahmorad ◽

D. Ahmadian

Keyword(s):

Stability Analysis ◽

Option Pricing ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Option Pricing Model ◽

The Stability ◽

Predictor Corrector

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Some Properties for the American Option-Pricing Model

Journal of Mathematical Finance ◽

10.4236/jmf.2012.23027 ◽

2012 ◽

Vol 02 (03) ◽

pp. 243-250 ◽

Author(s):

Hong-Ming Yin

Keyword(s):

Option Pricing ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Option Pricing Model

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Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump Process

IEICE Transactions on Information and Systems ◽

10.1587/transinf.2017edp7236 ◽

2018 ◽

Vol E101.D (7) ◽

pp. 1843-1859

Author(s):

Huiming ZHANG ◽

Junzo WATADA

Keyword(s):

Option Pricing ◽

Jump Process ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Model Based ◽

Option Pricing Model

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Implementation of the Longstaff and Schwartz American Option Pricing Model on FPGA

Journal of Signal Processing Systems ◽

10.1007/s11265-010-0550-1 ◽

2010 ◽

Vol 67 (1) ◽

pp. 79-91 ◽

Author(s):

Xiang Tian ◽

Khaled Benkrid

Keyword(s):

Option Pricing ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Option Pricing Model

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Fractal Nonstandard American Option Pricing Model

Chinese Business Review ◽

10.17265/1537-1506/2013.05.005 ◽

2013 ◽

Vol 12 (05) ◽

Keyword(s):

Option Pricing ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Option Pricing Model

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On the American option-pricing model with an uncertain volatility

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.3509 ◽

2015 ◽

Vol 39 (4) ◽

pp. 676-685

Author(s):

Hong-Ming Yin ◽

Wen Wang

Keyword(s):

Option Pricing ◽

American Option ◽

Pricing Model ◽

American Option Pricing ◽

Uncertain Volatility ◽

Option Pricing Model

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A new stochastic gradient estimator for American option pricing

2009 European Control Conference (ECC) ◽

10.23919/ecc.2009.7074567 ◽

2009 ◽

Author(s):

Yongqiang Wang ◽

Michael C. Fu ◽

Steven I. Marcus

Keyword(s):

Option Pricing ◽

American Option ◽

Stochastic Gradient ◽

American Option Pricing

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An analytical approximation for the GARCH option pricing model

The Journal of Computational Finance ◽

10.21314/jcf.1999.033 ◽

1999 ◽

Vol 2 (4) ◽

pp. 75-116 ◽

Author(s):

Jin-Chuan Duan ◽

Geneviève Gauthier ◽

Jean-Guy Simonato

Keyword(s):

Option Pricing ◽

Analytical Approximation ◽

Pricing Model ◽

Option Pricing Model

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