The impact of stochastic volatility process on the values of assets

Osu, Bright O.; Eze, Everestus Obinwanne; Obi, Chinyere

doi:10.1016/j.sciaf.2020.e00513

Cited by 6 publications

(6 citation statements)

References 6 publications

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“…3 demonstrates a quadratic nature of periods which show-cased uncertainty, inequality in the value of assets and its return rates respectively. This is in line with results of [7,12] and [25] etc. Also the minimum and maximum level of returns are seen in the plot which adequately informs an investors in decision making with respect to day-to-day activities of financial markets.…”

Section: Fig 3 the Effect Of Fourier Series Expansion When Rate Of Re...supporting

confidence: 92%

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The Impact of Fourier Series Expansion on the Analysis of Asset Value Function and its Return Rates for Capital Markets

Perelah,

Iyai,

Uchenna

2023

ARJOM

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The effect of Fourier series expansion on the solution of Stochastic Differential Equation (SDE) is considered herein. The detailed measures which govern price function of return rate for capital investments are obtained periodically. Sufficient conditions of stating mathematical propositions and proving it by means of Fourier series expansion are given. These price functions were used as drift (return rate) parameter in the solution of proposed model which follow various pattern according to their propositions. This way, the desired complete solutions were obtained. Finally, the effects of the relevant parameters were demonstrated graphically for the purpose of decision making.

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Section: Fig 3 the Effect Of Fourier Series Expansion When Rate Of Re...supporting

confidence: 92%

“…This Section presents the graphical results for the three propositions whose solutions are in (19)(20)(21)(22)(23)(24)(25)(26). Hence the following parameter values were used in the simulation study: Fig.…”

Section: Resultsmentioning

confidence: 99%

The Impact of Fourier Series Expansion on the Analysis of Asset Value Function and its Return Rates for Capital Markets

Perelah,

Iyai,

Uchenna

2023

ARJOM

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“…Hence the following Tables values were generated: It can be observed the various levels of asset value increase as effect of delay parameter in the model. 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].…”

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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“…Since then, there has been several studies on stochastic volatility models and option pricing. One of such studies was published by Osu et al (2020): it investigated the impact of stochastic volatility on asset pricing and found that that different trajectory in stochastic parameters produced uncertainty in price history. Ventura (2021) investigated volatility smiles using stochastic Alpha and beta rho (SABR) model.…”

Section: Introductionmentioning

confidence: 99%

Investigating Stochastic Volatility during Periods of Financial Distress: Evidence from International Financial Markets

Enow¹

2023

(GJEB)

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Capturing the dynamic properties of financial market volatility has always been very auspicious in asset pricing. The mean reverting properties of financial markets are of paramount importance for investment decision makers with far reaching implications. The purpose of this study was to investigate stochastic volatility in international financial markets during periods of financial distress. Accordingly, a Heston model was used to stochastic volatility in the CAC 40, DAX, JSE, Nasdaq Index and the Nikkei-225 during the 2007-2008 financial crisis and the Covid-19 pandemic. This study used January 1, 2020 to December 31, 2021 and December 1, 2007 to June 30, 2009 as the sample period representing the Covid-19 pandemic and financial crisis respectively. The findings of this study revealed the extortionate stochastic volatility during the Covid-19 pandemic compared to the financial crisis. There will be slightly higher than normal arbitrage opportunities and mispricing in most financial markets as a result of the pandemic.

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The impact of stochastic volatility process on the values of assets

Cited by 6 publications

References 6 publications

The Impact of Fourier Series Expansion on the Analysis of Asset Value Function and its Return Rates for Capital Markets

The Impact of Fourier Series Expansion on the Analysis of Asset Value Function and its Return Rates for Capital Markets

Stochastic Analysis of Asset Returns Which Follows Multiplicative Effects Series

Investigating Stochastic Volatility during Periods of Financial Distress: Evidence from International Financial Markets

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