Title of article :
TAIEX INDEX OPTION MODEL BY USING NONLINEAR DIFFERENTIAL EQUATION
Author/Authors :
Lin, Tsung-Jui Chiang National Taiwan University of Science and Technology - Graduate Institute of Finance, Taiwan , Li, Meng-Rong National Chengchi University - Department of Mathematical Sciences, Taiwan , Lee, Yong Shiuan National Chengchi University - Department of Statistics, Taiwan
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
Journal title :
mathematical and computational applications
Journal title :
mathematical and computational applications
