Pricing a European Put Option by Numerical Methods

Kiprop, George Korir; Langat, Kenneth Kiprotich

doi:10.29322/ijsrp.9.11.2019.p9575

Cited by 5 publications

(4 citation statements)

References 6 publications

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“…This is quite consistent because as you delay in selling-off your landed properties, Estates, companies etc over time; will ultimately produce additional cash associated to when it is sold for today [18,19]. Investors buy these assets in speculation and allow it for period of times to grow in value before they can be made use of in time varying investments [20,21,22]. More so, a little increase in return rates of 1.0000 and 2.0000 respectively increases the value of assets, see Table 1.…”

Section: Resultsmentioning

confidence: 99%

Stochastic Analysis of Asset Returns Which Follows Multiplicative Effects Series

Ebakpa,

Amadi,

Nchelem

et al. 2023

AJPAS

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The key importance of asset values and it return rates are geared towards investment funds which grows wealth over time. This paper considered stochastic models where asset values were examined. A twelve (12) months (2022) initial closing stock price data of Oando, PLC, were used in the study. The problems were accurately solved analytical by means of Ito’s theorem and a closed form solutions were obtained which governed asset price return rates through multiplicative effects series. The empirical illustrations between Stochastic Differential Equations (SDEs) and Stochastic Delay Differential Equations (SDDEs) asset values were compared to inform Oando PLC in terms of decision making. However, the behaviour on the value of asset prices were analysed using Kolmogorov-Smirnov (KS). To this end, graphical solutions and the effects of the relevant stock variables were conferred accordingly.

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Section: Resultsmentioning

confidence: 99%

Stochastic Analysis of Asset Returns Which Follows Multiplicative Effects Series

Ebakpa,

Amadi,

Nchelem

et al. 2023

AJPAS

View full text Add to dashboard Cite

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“…From their evaluation, the equilibrium price and the market growth rate of shares were found out". Hence, a good number researchers like [12][13][14][15][16][17][18][19][20][21][22][23][24]2], etc., have written broadly on stock market prices.…”

Section: Introductionmentioning

confidence: 99%

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

Azor, P. A.,

Annorzie, M. N.,

Amadi, I. U.

2024

Asian Res. J. Math.

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This paper considered system of stochastic differential equations with emphasis on variations of drift parameters as it affects financial markets. The Ito’s method was applied in solving the problems analytically which resulted to three different investment solutions accordingly. The appropriate conditions were accomplished which controlled various drift parameters in the assessment financial markets. Hence, the impressions on each solution of investors in financial markets were analyzed graphically. Finally, the influences of the relevant parameters of stochastic variables were effectively discussed all in this paper.

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“…[1] examined an optimal portfolio selection model for risky assets established on asymptotic power law behaviour where security prices follow a Weibull distribution. Therefore, so many scholars have written extensively on stock market prices such as [11][12][13][14][15][16][17][18][19][20][21][22], etc. Nevertheless, Controllability is a qualitative property of dynamical system and is of particular importance in control theory.…”

Section: Introductionmentioning

confidence: 99%

Application of Non-Linear Evolution Stochastic Equations with Asymptotic Null Controllability Analysis

Amadi,

Nnoka,

Amadi

2024

IJMSS

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This paper investigated system of stochastic differential equations with prominence on disparities of drift parameters. These problems were solved analytical by adopting the Ito’s method of solution and three different investment solutions were obtained consequently. The necessary conditions were achieved which govern various drift parameters in assessing financial markets. Therefore, the impressions on each solution of investors in financial markets were analyzed graphically. Secondly, stock price data of Transco, LTD were analyzed which covariance matrix were considered and analysis were logically extended to stochastic vector differential equation where control measures were incorporated that would help in predicting different stock price processes, and the result obtained by exploring the properties of the fundamental matrix solution where asymptotic null controllability results were obtained by the singularity of the controllability matrix a function of the drift. Finally, the effects of the significant parameters of stochastic variables were successfully discussed.

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Pricing a European Put Option by Numerical Methods

Cited by 5 publications

References 6 publications

Stochastic Analysis of Asset Returns Which Follows Multiplicative Effects Series

Stochastic Analysis of Asset Returns Which Follows Multiplicative Effects Series

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

Application of Non-Linear Evolution Stochastic Equations with Asymptotic Null Controllability Analysis

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