eprintid: 12199
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/01/21/99
datestamp: 2023-11-10 03:26:44
lastmod: 2023-11-10 03:26:44
status_changed: 2023-11-10 01:17:07
type: article
metadata_visibility: show
creators_name: Zhang, H.
creators_name: Watada, J.
title: Building fuzzy levy-GJR-GARCH American option pricing model
ispublished: pub
keywords: Costs; Decision making; Economics; Financial markets; Fuzzy set theory; Monte Carlo methods; Random processes; Statistical methods; Uncertainty analysis, American options; Fuzzy simulation; GJR-GARCH models; Least squares monte carlo; Levy process, Electronic trading
note: cited By 1; Conference of 7th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2019 ; Conference Date: 27 March 2019 Through 29 March 2019; Conference Code:224609
abstract: Taking into account the time-varying, jump and leverage effect characteristics of asset price fluctuations, we first obtain the asset return rate model through the GJR-GARCH model (Glosten, Jagannathan and Rundle-generalized autoregressive conditional heteroskedasticity model) and introduce the infinite pure-jump Levy process into the asset return rate model to improve the model�s accuracy. Then, to be more consistent with reality and include more uncertainty factors, we integrate the more generalized parabolic fuzzy variable (which can cover the triangle and trapezoid fuzzy variable) to represent asset price volatility. Next, considering more general situations with fuzzy variables with mixed distributions, we apply fuzzy simulation technology to the least squares Monte Carlo algorithm to create fuzzy pricing numerical algorithms, that is the fuzzy least squares Monte Carlo algorithm. Finally, by using American options data from the Standard & Poor�s 100 index, we empirically test our fuzzy pricing model with different widely used infinite pure-jump Levy processes (the VG (variance gamma process), NIG (normal inverse Gaussian process) and CGMY (Carr-Geman-Madan-Yor process) under fuzzy and crisp environments. The results indicate that the fuzzy option pricing model is more reasonable; the fuzzy interval can cover the market prices of options and the prices that obtained by the crisp option pricing model, the fuzzy option pricing model is feasible one. © Springer Nature Switzerland AG 2019.
date: 2019
publisher: Springer Verlag
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85064207119&doi=10.1007%2f978-3-030-14815-7_17&partnerID=40&md5=1f4b8e7db814cfeb913ce0f19ca7763d
id_number: 10.1007/978-3-030-14815-7₁₇
full_text_status: none
publication: Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
volume: 11471 
pagerange: 197-209
refereed: TRUE
isbn: 9783030148140
issn: 03029743
citation:   Zhang, H. and Watada, J.  (2019) Building fuzzy levy-GJR-GARCH American option pricing model.  Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 11471 .  pp. 197-209.  ISSN 03029743