Taiex Index Option Model by Using Nonlinear Differential Equation

[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 ―ParabolaApproximation‖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.

[学科分类] 计算数学

[关键词] differential equation;dynamic system;parabola approximation;options;TXO;B-S model