Not all Routers have DMZ because it's pretty darn unsecured. It's a very bad idea to use it. Specific Port forwarding is the preferred choice.
Check the Firewall settings of the router. Even with port forwarding set right, the firewall can block the traffic.
I'd also recommend using....
Open Port Check Tool - Test Port Forwarding on Your Router
When your setting up the router, this URL will allow you to check if your selected port is truly open to the internet and working.