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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0727106-160316 |
| Date | 27 July 2006 |
| Creators | Li, Wei-Hung |
| Contributors | Mei-Hui Guo, Fu-Chuen Chang, Ray-Bing Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727106-160316 |
| Rights | withheld, Copyright information available at source archive |
Page generated in 0.0018 seconds