Title page for etd-0727106-160316


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URN etd-0727106-160316
Author Wei-Hung Li
Author's Email Address m932040020@student.nsysu.edu.tw
Statistics This thesis had been viewed 5098 times. Download 1198 times.
Department Applied Mathematics
Year 2005
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Expert System for Numerical Methods of Stochastic Differential Equations
Date of Defense 2006-07-14
Page Count 63
Keyword
  • Maximum likelihood estimation method
  • Jump diffusion model
  • Black-Scholes model
  • Geometric Brownian motion
  • Constant elasticity of volatility model
  • Abstract In this thesis, we expand the option pricing and virtual asset model system by Cheng (2005) and include new simulations and maximum likelihood estimation of the parameter of the stochastic differential equations. For easy manipulation of general users, the interface of original option pricing system is modified. In addition, in order to let the system more completely, some stochastic models and methods of pricing and estimation are added. This system can be divided into three major parts. One is an
    option pricing system; The second is an asset model simulation system; The last is estimation system of the parameter of the model. Finally, the analysis for the data of network are carried out. The differences of the prices between estimator of this system and real market are compared.
    Advisory Committee
  • Fu-Chuen Chang - chair
  • Ray-Bing Chen - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0727106-160316.pdf
  • indicate accessible in a year
    Date of Submission 2006-07-27

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