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https://ah.lib.nccu.edu.tw/handle/140.119/66700| 題名: | TAIEX index option model by using nonlinear differential equation | 作者: | 李明融 Li, Meng-Rong Lee, Yong-Hsiuan Chiang Lin, Tsung-Jui |
貢獻者: | 應數系 | 關鍵詞: | Differential Equation; Dynamic System; Parabola Approximation; Options; TXO; B-S Model | 日期: | 2014 | 上傳時間: | 13-Jun-2014 | 摘要: | In this study we treat TXO price as a dynamic system which changes over time and characterize it by differential equations. Our goal is to construct a model more suitable for TXO. We use ―Parabola Approximation‖ proposed by Li et al. (2011) to solve the differential equations and try to find the model which fits our data the most. Empirical study shows the model used all produce accurate estimates of TXO prices. | 關聯: | Mathematical and Computational Applications, 19(1), 78-92 | 資料類型: | article |
| Appears in Collections: | 期刊論文 |
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