War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis

This paper investigates the market's expectations for oil prices during the Persian Gulf crisis. To do so a general method for using options markets to recover the implied distribution for futures prices is developed. The method applies to a wide class of distributions. In particular, it is not limited to those distributions arising from diffusion or jump-diffusion processes.

MoreLess

Year of publication:	1992
Authors:	Melick, William R. ; Thomas, Charles P.
Institutions:	Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject:	Power resources - Prices \| Persian Gulf War \| 1991

freely available

Full text |

More access options

www.federalreserve.gov

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	text/html application/pdf
Series:	International Finance Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 437
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005712826