{"title":"用部分期权定价模型的解分析股票市场","authors":"O. OsuB., I. ChukwunezuA., C. Olunkwa, N. Obi.C.","doi":"10.12691/IJPDEA-6-1-1","DOIUrl":null,"url":null,"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.","PeriodicalId":11162,"journal":{"name":"Differential Equations and Applications","volume":"122 1","pages":"1-12"},"PeriodicalIF":0.0000,"publicationDate":"2019-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Analyzing the Stock Market Using the Solution of the Fractional Option Pricing Model\",\"authors\":\"O. OsuB., I. ChukwunezuA., C. Olunkwa, N. Obi.C.\",\"doi\":\"10.12691/IJPDEA-6-1-1\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":11162,\"journal\":{\"name\":\"Differential Equations and Applications\",\"volume\":\"122 1\",\"pages\":\"1-12\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-05-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Differential Equations and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12691/IJPDEA-6-1-1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Differential Equations and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12691/IJPDEA-6-1-1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Analyzing the Stock Market Using the Solution of the Fractional Option Pricing Model
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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