I just finished porting an application from Windows into Linux.
I have to create an installer of the application.
The application is not open source
I tell you an additional possibility, although I am not aware of its status: the Loki installer. Loki was a company doing videogames porting for Linux. It went down in 2002, but the installer is available.
InstallShield is also available for linux. No idea on the status though.
Although many people are proposing you to go with tar.gz, please don't. I assume you want to provide a pleasant experience for the installation procedure to your users. A tar.gz is one of the most low level, low quality, low usability choices you can do. It works everywhere because it does basically nothing, as you know.
The guys at freedesktop.org and the LSB are quite clear on where to put stuff. What you need is a friendly program to do that. Autopackage imho has the numbers (I love it), but despite its age, I haven't seen a single program out there distributed as an autopackage.
Evaluate it carefully, but don't skip the chance of being part of the momentum in favour of it, just because it's not popular. If it works for you, and it works for your users, everything else does not matter.