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Merton, R. (1997). Theory of rational option pricing, Bell Journal of Economics and management science, 4(1), 141-183.

has been cited by the following article:

Article

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

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


International Journal of Partial Differential Equations and Applications. 2019, Vol. 6 No. 1, 1-12
DOI: 10.12691/ijpdea-6-1-1
Copyright © 2019 Science and Education Publishing

Cite this paper:
Osu B. O, Chukwunezu A. I, Olunkwa C., 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.

Correspondence to: Osu  B. O, Department of Mathematics, Michael Okpara University Of Agriculture, Umudike, Nigeria. Email: osu.bright@mouau.edu.ng

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.

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