eng
Science and Education Publishing
International Journal of Partial Differential Equations and Applications
2376-9556
2019-05-02
6
1
1
12
10.12691/ijpdea-6-1-1
IJPDEA2019611
article
Analyzing the Stock Market Using the Solution of the Fractional Option Pricing Model
Osu B. O
osu.bright@mouau.edu.ng
1
Chukwunezu A. I
2
Olunkwa C.
3
Obi C. N
4
Department of Mathematics, Michael Okpara University Of Agriculture, Umudike, Nigeria
Department of Mathematics and Statistics, Federal Polytechnic, Nekede, Owerri, Nigeria
Department of Mathematics, Abia State University, Uturu, Nigeria
Department of Mathematics, Federal University Of Technology, Owerri, Nigeria
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.
http://pubs.sciepub.com/ijpdea/6/1/1/ijpdea-6-1-1.pdf
hurst exponent
MATLAB
stock index
DFA MSC
98B28