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Title: TAIEX index option model by using nonlinear differential equation
Authors: 李明融
Li, Meng-Rong
Lee, Yong-Hsiuan
Chiang Lin, Tsung-Jui
Contributors: 應數系
Keywords: Differential Equation;Dynamic System;Parabola Approximation;Options;TXO;B-S Model
Date: 2014.04
Issue Date: 2014-06-13 16:55:17 (UTC+8)
Abstract: 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.
Relation: Mathematical and Computational Applications, 19(1), 78-92
Data Type: article
Appears in Collections:[應用數學系] 期刊論文

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