E. A. Owoloko

Survey Datasets on the externalizing behaviors of primary school pupils and secondary school students in some selected schools in Ogun State, Nigeria

This data article contains the partial analysis (descriptive statistics) of data obtained from 1770 primary school pupils and secondary school students in three Local Government Areas of Ogun State, Nigeria. The schools are either privately owned or public (government owned) schools. The aim of the field survey is to measure the level and patterns of externalizing behavior of the respondents. The data was collected using a standardized questionnaire. The questionnaire is a modification of Achenbach manual for Child behavior checklist (Achenbach, 2001) [1] and manual for Youth self-report (Achenbach and Rescorla, 2001) [2]. The questionnaire was designed to suit the demographic and socio-cultural nature of the target population. Analysis of the data can provide useful insights to the patterns of externalizing behavior of primary school pupils and secondary school students.

Analytical Solutions of the Black–Scholes Pricing Model for European Option Valuation via a Projected Differential Transformation Method

In this paper, a proposed computational method referred to as Projected Differential Transformation Method (PDTM) resulting from the modification of the classical Differential Transformation Method (DTM) is applied, for the first time, to the Black–Scholes Equation for European Option Valuation. The results obtained converge faster to their associated exact solution form; these easily computed results represent the analytical values of the associated European call options, and the same algorithm can be followed for European put options. It is shown that PDTM is more efficient, reliable and better than the classical DTM and other semi-analytical methods since less computational work is involved. Hence, it is strongly recommended for both linear and nonlinear stochastic differential equations (SDEs) encountered in financial mathematics.

Datasets on the statistical and algebraic properties of primitive Pythagorean triples

The data in this article was obtained from the algebraic and statistical analysis of the first 331 primitive Pythagorean triples. The ordered sample is a subset of the larger Pythagorean triples. A primitive Pythagorean triple consists of three integers a, b and c such that; [Formula: see text]. A primitive Pythagorean triple is one which the greatest common divisor (gcd), that is; [Formula: see text] or a, b and c are coprime, and pairwise coprime. The dataset describe the various algebraic and statistical manipulations of the integers a, b and c that constitute the primitive Pythagorean triples. The correlation between the integers at each analysis was included. The data analysis of the non-normal nature of the integers was also included in this article. The data is open to criticism, adaptation and detailed extended analysis.

The modified Black-Scholes model via constant elasticity of variance for stock options valuation

In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.

Performance rating of the transmuted exponential distribution: an analytical approach

In this article, the so called Transmuted Exponential (TE) distribution was applied to two real life datasets to assess its potential flexibility over some other generalized models. Various statistical properties of the TE distribution were also identified while the method of maximum likelihood estimation was used to estimate the model parameters.

Investigating the Imperfection of the B - S Model: A Case Study of an Emerging Stock Market

The Black ‐ Scholes (B-S) model is one of the widely used models in the pricing of financial option. The B-S model like most other models hinges on assumptions; one of which is the normality condition. A lot of researches have shown that using the log-return of developed market index that this assumption does not hold. We have shown in this paper using the log return from 1

Parameter Estimation of Local Volatility in Currency Option Valuation

In quantitative finance and option pricing, one of the basic determinants of option prices is the volatility of the underlying asset. In this paper, we therefore, present a concise study of volatility in option pricing in the sense of Dupire’s approach. Thereafter, we outspread such study via the application of Ito formula to the modelling and valuation of currency option with local volatility. For the purpose of efficiency, we use the daily historical prices of stock-S&P 500 for a certain period to estimate the corresponding historical volatility. Graphical representation of the analysed daily historical data of stock prices with respect to a local volatility is presented

A note on Black-Scholes pricing model for theoretical values of stock options

In this paper, we consider some conditions that transform the classical Black-Scholes Model for stock options valuation from its partial differential equation (PDE) form to an equivalent ordinary differential equation (ODE) form. In addition, we propose a relatively new semi-analytical method for the solution of the transformed Black-Scholes model. The obtained solutions via this method can be used to find the theoretical values of the stock options in relation to their fair prices. In considering the reliability and efficiency of the models, we test some cases and the results are in good agreement with the exact solution.

A Useful Extension of the Inverse Exponential Distribution

This chapter explores the three-parameter Weibull Inverse Exponential distribution. The various and basic structural properties of the distribution are defined and established. Applications to real life datasets were provided and the unknown model parameters were estimated using the maximum likelihood estimation method. The results show that the Weibull Inverse Exponential distribution is a viable alternative to its counterpart distribution(s) based on the selection criteria used.

Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption

Abstract In financial mathematics, trading in an illiquid market has become a topic of great concern since assets in such market cannot be sold easily for cash without at least a minimal loss of value. This may be due to uncertainty traceable to factors like lack of interested buyers, transaction cost, and so on. Here, we obtain analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market through a relatively new semi-analytical method: modified differential transform method. Firstly, we considered a nonlinear option pricing model obtained when the constant volatility assumption of the classical linear Black–Scholes option pricing model is relaxed by including transaction cost. Thereafter, we extend, for the first time in literature, this nonlinear option pricing model to a time-fractional ordered form, and obtain approximate-analytical solutions to this new nonlinear model via the proposed technique. For efficiency and reliability of the method, two cases with five examples are considered: case 1 with two examples for time-integer order, and case 2 with three examples for time-fractional order. Our results strongly agree with the associated exact solutions in literature and those obtained via the application of Adomian Decomposition Method (ADM) even though our approximate solutions include only terms up to time power two, accuracy is improved for more terms. This therefore, shows that the result obtained via the ADM is a particular case of this present work when α = 1. Maple 18 software is used for the computations done in this work.