Read Subordinated Levy Processes and Applications to Crude Oil Options

Subordinated Levy Processes and Applications to Crude Oil Options

Noureddine Krichene

4.9/5 (25861 ratings)

Description:One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects of crude oil and proposes Levy processes for modeling uncertainty and options pricing. Calibration to crude oil futures' options shows high volatility of oil futures prices, fat-tailed, and right-skewed market expectations, implying a higher probability mass on crude oil prices remaining above the futures' level. These findings support the view that demand for futures contracts by investors could lead to excessively high price volatility.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Subordinated Levy Processes and Applications to Crude Oil Options. To get started finding Subordinated Levy Processes and Applications to Crude Oil Options, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 27

Format: PDF, EPUB & Kindle Edition

Publisher: Not Avail

Release: 2005

ISBN: 6613829420

Description: One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects of crude oil and proposes Levy processes for modeling uncertainty and options pricing. Calibration to crude oil futures' options shows high volatility of oil futures prices, fat-tailed, and right-skewed market expectations, implying a higher probability mass on crude oil prices remaining above the futures' level. These findings support the view that demand for futures contracts by investors could lead to excessively high price volatility.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Subordinated Levy Processes and Applications to Crude Oil Options. To get started finding Subordinated Levy Processes and Applications to Crude Oil Options, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Subordinated Levy Processes and Applications to Crude Oil Options

Subordinated Levy Processes and Applications to Crude Oil Options

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