African Journal of
Mathematics and Computer Science Research

  • Abbreviation: Afr. J. Math. Comput. Sci. Res.
  • Language: English
  • ISSN: 2006-9731
  • DOI: 10.5897/AJMCSR
  • Start Year: 2008
  • Published Articles: 261

Full Length Research Paper

Stability analysis of stochastic model of stock market price

  B. O. Osu1*, A. C.Okoroafor2 and C .Olunkwa3
Department of Mathematics, Abia State University, P.M.B .2000. Uturu, Nigeria.
Email: [email protected]

  •  Accepted: 03 June 2009
  •  Published: 31 July 2009

Abstract

 

A stability analysis of stochastic model of price change at the floor of a stock market is considered. Precise conditions are obtained which determine the equilibrium price and growth rate of the stock shares in a particular case. In general, stability in a numerical procedure for the Black-Schole’s partial differential equation is established. An illustrative example is provided.

 

Key words: Stability analysis, stochastic model, stock price changes, Black-Schole’s PDE, mathematics subject classification91B26, D91, 91B60.