Stochastic Analysis of the Effect of Asset Prices to a Single Economic Investor
| Autor: | Joseph Thomas Eghwerido, Eferhonore Efe-Eyefia, Samuel Chiabom Zelibe, Enyinnaya Ekuma-Okereke |
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| Rok vydání: | 2016 |
| Předmět: |
Stochastic control
Risk neutrality Geometric Brownian motion Stochastic investment model Stochastic process Stochastic modelling Strategy and Management Mechanical Engineering Mathematics::Optimization and Control Metals and Alloys Industrial and Manufacturing Engineering Asset (economics) Mathematical economics Mathematics |
| Zdroj: | Bulletin of Mathematical Sciences and Applications. 17:33-39 |
| ISSN: | 2278-9634 |
| DOI: | 10.18052/www.scipress.com/bmsa.17.33 |
| Popis: | In this paper, we propose a single economic investor whose asset follows a geometric Brownian motion process. Our objective therefore is to obtain the fair price and the present market value of the asset with an infinitely horizon expected discounted investment output. We apply dynamic programming principle to derive the Hamilton Jacobi Bellman (HJB)-equation associated with the problem which is found to be equivalent to the famous Black-Scholes Model under no risk neutrality. In addition, for a complete market under equilibrium, we obtained the value of the present asset with risk neutrality and its fair price. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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