Using options prices to infer PDF's for asset prices: an application to oil prices during the Gulf crisis
Board of Governors of the Federal Reserve System, 1996 - Business & Economics - 41 pages
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60 Futures Price actual futures price actual option price American call option American option April Contract asset price assumption BAW approximation call option conditional expectation contract/days Crude Oil Futures Ct[X Deutsche Bundesbank DF P-value discount factor distribution for futures early exercise premium estimated distribution Et[max European options F-test Federal Reserve System Finance Discussion Papers functional form futures contract Futures Price dollars/barrel Implicit Density Functions International Finance Discussion January Contract Journal of Finance lower bound major disruption martingale Melick mixture of lognormals mixture of three MLN and SLN NYMEX October oil futures price oil market oil prices option's expiration option's value panel plots PDFs Persian Gulf crisis price at expiration Prices to Infer pricing equations Pricing Errors probability mass right-hand tail settle price single lognormal distribution SLN as Model SLN Model speed of resolution stochastic process t-statistic top panel trading days underlying asset undiscounted European value upper bound weights