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.
Math. Comput. Appl. 2014, 19(1), 78-92; https://doi.org/10.3390/mca19010078
Published: 1 April 2014
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
Share and Cite
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. https://doi.org/10.3390/mca19010078
AMA Style
Lin T-JC, Li M-R, Lee YS. Taiex Index Option Model by Using Nonlinear Differential Equation. Mathematical and Computational Applications. 2014; 19(1):78-92. https://doi.org/10.3390/mca19010078
Chicago/Turabian StyleLin, Tsung-Jui Chiang, Meng-Rong Li, and Yong Shiuan Lee. 2014. "Taiex Index Option Model by Using Nonlinear Differential Equation" Mathematical and Computational Applications 19, no. 1: 78-92. https://doi.org/10.3390/mca19010078
