A stochastic model of asset pricing function with additive effects series for capital market prices

Autori

  • I.U. Amadi* Department of Mathematics and Statistics, Captain Elechi Amadi Polytechnics, Port Harcourt, Nigeria.
  • L.E. Ebakpa† Department of Mathematics and Statistics, Ignatius Ajuru University of Education, Rumuolumeni, Port Harcourt, Nigeria
  • P.A. Azor‡ Department of Mathematics and Statistics, Federal University, Otuoke, Nigeria

##semicolon##

asset value##common.commaListSeparator## Kolmogorov –Smirnov (KS)##common.commaListSeparator## additive effects##common.commaListSeparator## SDE and SDDE

Abstrakt

In this paper, a combination of two stochastic systems namely: Stochastic Differential Equation (SDE) and Stochastic Delay Differential Equation (SDDE) respectively were considered. A closed form analytical solutions were presented in details which determined asset values through additive effects series. The validity of the analytical solution were obtained and verified using
initial stock prices; which were explicitly analysed using Kolmogorov-Smirnov and results showed that the two asset values do not come from a common distribution. Finally, the impressions of other key stock quantities were discussed and graphical results presented using MATLAB.

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Publikované

2023-10-31

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Amadi*, I. ., Ebakpa†, L. ., & Azor‡, P. . (2023). A stochastic model of asset pricing function with additive effects series for capital market prices. International Journal of Mathematical Analysis and Modelling, 6(2). Cit z https://tnsmb.org/journal/index.php/ijmam/article/view/98

Číslo

Diel 6 Číslo 2 (2023): Volume 6, Issue 2 (Oct. - Nov. 2023)

Sekcia

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