Working Paper

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.

Keywords: Power resources - Prices; Persian Gulf War, 1991;

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: International Finance Discussion Papers

Publication Date: 1992

Number: 437