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    政大機構典藏 > 理學院 > 應用數學系 > 期刊論文 >  Item 140.119/66700
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/66700


    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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