Stochastic Analysis of Asset Returns Which Follows Multiplicative Effects Series
L. E. Ebakpa
Department of Mathematics and Statistics, Ignatius Ajuru University of Education, Rumuolumeni, Port Harcourt, Nigeria.
I. U. Amadi *
Department of Mathematics and Statistics, Captain Elechi Amadi Polytechnics, Port Harcourt, Nigeria.
R. G. Nchelem
Department of Mathematics and Statistics, Ignatius Ajuru University of Education, Rumuolumeni, Port Harcourt, Nigeria.
P. A. Azor
Department of Mathematics and Statistics, Federal University, Otuoke, Nigeria.
*Author to whom correspondence should be addressed.
Abstract
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.
Keywords: Asset value, Kolmogorov –Smirnov (KS), stochastic analysis, prices