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Math. Comput. Appl. 2014, 19(1), 78-92; doi:10.3390/mca19010078

Taiex Index Option Model by Using Nonlinear Differential Equation

1
Graduate Institute of Finance, National Taiwan University of Science and Technology, 10607, Taipei, Taiwan
2
Department of Mathematical Sciences, National Chengchi University, 11605 Taipei, Taiwan
3
Department of Statistics, National Chengchi University, 11605, Taipei, Taiwan
*
Authors to whom correspondence should be addressed.
Published: 1 April 2014
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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.
Keywords: differential equation; dynamic system; parabola approximation; options; TXO; B-S model differential equation; dynamic system; parabola approximation; options; TXO; B-S model
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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MDPI and ACS Style

Lin, T.-J.C.; Li, M.-R.; Lee, Y.S. Taiex Index Option Model by Using Nonlinear Differential Equation. Math. Comput. Appl. 2014, 19, 78-92.

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