TAIEX index option model by using nonlinear differential equation

Title	TAIEX index option model by using nonlinear differential equation
Creator	李明融 Li, Meng-Rong Lee, Yong-Hsiuan Chiang Lin, Tsung-Jui
Contributor	應數系
Key Words	Differential Equation; Dynamic System; Parabola Approximation; Options; TXO; B-S Model
Date	2014.04
Date Issued	13-Jun-2014 16:55:17 (UTC+8)
Summary	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
Type	article

dc.contributor	應數系	en_US
dc.creator (作者)	李明融	zh_TW
dc.creator (作者)	Li, Meng-Rong	en_US
dc.creator (作者)	Lee, Yong-Hsiuan	en_US
dc.creator (作者)	Chiang Lin, Tsung-Jui	en_US
dc.date (日期)	2014.04	en_US
dc.date.accessioned	13-Jun-2014 16:55:17 (UTC+8)	-
dc.date.available	13-Jun-2014 16:55:17 (UTC+8)	-
dc.date.issued (上傳時間)	13-Jun-2014 16:55:17 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/66700	-
dc.description.abstract (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.	en_US
dc.format.extent	346141 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en_US	-
dc.relation (關聯)	Mathematical and Computational Applications, 19(1), 78-92	en_US
dc.subject (關鍵詞)	Differential Equation; Dynamic System; Parabola Approximation; Options; TXO; B-S Model	en_US
dc.title (題名)	TAIEX index option model by using nonlinear differential equation	en_US
dc.type (資料類型)	article	en