War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis
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.
File(s): File format is text/html http://www.federalreserve.gov/pubs/ifdp/1992/437/default.htm
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/ifdp/1992/437/ifdp437.pdf
Part of Series: International Finance Discussion Papers
Publication Date: 1992