International Journal of Partial Differential Equations and Applications
ISSN (Print): 2376-9548 ISSN (Online): 2376-9556 Website: http://www.sciepub.com/journal/ijpdea Editor-in-chief: Mahammad Nurmammadov
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International Journal of Partial Differential Equations and Applications. 2019, 6(1), 1-12
DOI: 10.12691/ijpdea-6-1-1
Open AccessArticle

Analyzing the Stock Market Using the Solution of the Fractional Option Pricing Model

Osu B. O1, , Chukwunezu A. I2, Olunkwa C.3 and Obi C. N4

1Department of Mathematics, Michael Okpara University Of Agriculture, Umudike, Nigeria

2Department of Mathematics and Statistics, Federal Polytechnic, Nekede, Owerri, Nigeria

3Department of Mathematics, Abia State University, Uturu, Nigeria

4Department of Mathematics, Federal University Of Technology, Owerri, Nigeria

Pub. Date: May 02, 2019

Cite this paper:
Osu B. O, Chukwunezu A. I, Olunkwa C. and Obi C. N. Analyzing the Stock Market Using the Solution of the Fractional Option Pricing Model. International Journal of Partial Differential Equations and Applications. 2019; 6(1):1-12. doi: 10.12691/ijpdea-6-1-1

Abstract

The aim of this work is to analyze the stock market using the solution of the fractional option pricing model as in literature. First, the Hurst exponent of the stock prices of two different stock index using Detrended Fluctuation Analysis (DFA) method was estimated. A program using MATLAB code was written which is used to calculate the Hurst exponent, the volatility, the discount rate, the call and put options prices efficiently so as to save time and avoid computational errors which may arise through manual computation.

Keywords:
hurst exponent MATLAB stock index DFA. MSC 98B28

Creative CommonsThis work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/

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