Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option

碩士 === 中原大學 === 應用數學研究所 === 93 === This research is studying the prediction of the price of the option mainly. Firstly, Two parameters of underlying asset and volatility can be predicted by time series form. Secondly, choosing Black-Scholes、finite-difference method and Monte-Carlo simulation method...

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Main Authors:	Chun-Jen Cheng, 鄭竣仁
Other Authors:	Shy-Der Lin
Format:	Others
Language:	zh-TW
Published:	2005
Online Access:	http://ndltd.ncl.edu.tw/handle/25715994356693225708

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spelling	ndltd-TW-093CYCU55070052015-10-13T15:06:39Z http://ndltd.ncl.edu.tw/handle/25715994356693225708 Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option 數值方法預測歐式選擇權之研究-台指選擇權為例 Chun-Jen Cheng 鄭竣仁碩士中原大學應用數學研究所 93 This research is studying the prediction of the price of the option mainly. Firstly, Two parameters of underlying asset and volatility can be predicted by time series form. Secondly, choosing Black-Scholes、finite-difference method and Monte-Carlo simulation method three different methods to forecast the price of the option in the future, and then compare with the price of the market. Using TAIEX Index Option expired on April in 2005 as example, the option priced by finite-difference method is more approximated to the price of the market under the measure standard of mean square error and mean absolute error. Therefore, the research offers a way to predict the price of the option for the application on the practice. Shy-Der Lin 林賜德 2005 學位論文 ; thesis 58 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 中原大學 === 應用數學研究所 === 93 === This research is studying the prediction of the price of the option mainly. Firstly, Two parameters of underlying asset and volatility can be predicted by time series form. Secondly, choosing Black-Scholes、finite-difference method and Monte-Carlo simulation method three different methods to forecast the price of the option in the future, and then compare with the price of the market. Using TAIEX Index Option expired on April in 2005 as example, the option priced by finite-difference method is more approximated to the price of the market under the measure standard of mean square error and mean absolute error. Therefore, the research offers a way to predict the price of the option for the application on the practice.
author2	Shy-Der Lin
author_facet	Shy-Der Lin Chun-Jen Cheng 鄭竣仁
author	Chun-Jen Cheng 鄭竣仁
spellingShingle	Chun-Jen Cheng 鄭竣仁 Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option
author_sort	Chun-Jen Cheng
title	Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option
title_short	Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option
title_full	Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option
title_fullStr	Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option
title_full_unstemmed	Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option
title_sort	study on forecasting european option with numerical methods - case of taiex index option
publishDate	2005
url	http://ndltd.ncl.edu.tw/handle/25715994356693225708
work_keys_str_mv	AT chunjencheng studyonforecastingeuropeanoptionwithnumericalmethodscaseoftaiexindexoption AT zhèngjùnrén studyonforecastingeuropeanoptionwithnumericalmethodscaseoftaiexindexoption AT chunjencheng shùzhífāngfǎyùcèōushìxuǎnzéquánzhīyánjiūtáizhǐxuǎnzéquánwèilì AT zhèngjùnrén shùzhífāngfǎyùcèōushìxuǎnzéquánzhīyánjiūtáizhǐxuǎnzéquánwèilì
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Study on Forecasting European Option with Numerical Methods - Case of TAIEX Index Option

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