International Finance Discussion Papers (IFDP)
October 1992
War and Peace: Recovering the Market's Probability Distribution of Crude Oil Futures Prices During the Gulf Crisis
William R. Melick and Charles P. Thomas
Abstract:
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.
PDF: Full Paper
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