Adeosun, M. E. and Edeki, S.O. and Ugbebor, Olabisi O. (2015) Stochastic Analysis of Stock Market Price Models: A Case Study of the Nigerian Stock Exchange (NSE). WSEAS TRANSACTIONS on MATHEMATICS, 14. p. 363. ISSN 2224-2880
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Abstract
In this paper, stochastic analysis of the behaviour of stock prices is considered using a proposed log- normal distribution model. To test this model, stock prices for a period of 19 years were taken from the Nigerian Stock Exchange (NSE) for simulation, and the results reveal that the proposed model is efficient for the prediction of stock prices. Better accuracy of results via this model can be improved upon when the drift and the volatility parameters are structured as stochastic functions of time instead of constants parameters.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Stochastic model, lognormal distribution, random walk, option pricing, stock exchange market |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 07 Jan 2016 13:17 |
| Last Modified: | 07 Jan 2016 13:17 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/5769 |
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