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AUTHOR(S): Iyai Davies, Amadi Innocent Uchenna, Ndu Roseline .I
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TITLE Stability Analysis of Stochastic Model for Stock Market Prices |
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ABSTRACT In this paper, the unstable natures of stock market forces were analysed using new differential equation model that could impact the expected returns of investors in stock exchange market with a stochastic volatility in the equation. The new results were obtained by developing stochastic vector differential equation, exploring the properties of the fundamental matrix solution (a function of the drift) of this equation and by placing continuity condition on the stochastic part (a function of the volatility). Example is given to illustrate the effectiveness of the model and simulation results presented graphically using MATLAB. |
KEYWORDS Stability, fundamental matrix, stochastic volatilities, Black Scholes, stock exchange market |
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Cite this paper Iyai Davies, Amadi Innocent Uchenna, Ndu Roseline .I. (2019) Stability Analysis of Stochastic Model for Stock Market Prices. International Journal of Mathematical and Computational Methods, 4, 79-86 |
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