Stochastic Analysis of Stock Market Price Models: A Case Study ofudthe Nigerian Stock Exchange (NSE)

摘要

In this paper, stochastic analysis of the behaviour of stock prices is considered using a proposed log-udnormal distribution model. To test this model, stock prices for a period of 19 years were taken from the NigerianudStock Exchange (NSE) for simulation, and the results reveal that the proposed model is efficient for the predictionudof stock prices. Better accuracy of results via this model can be improved upon when the drift and the volatilityudparameters are structured as stochastic functions of time instead of constants parameters.