Published
2005 by International Monetary Fund, African Dept. in Washington, D.C .
Written in
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.
Edition Notes
| Statement | prepared by Noureddine Krichene. |
| Series | IMF working paper -- WP/05/174 |
| Contributions | International Monetary Fund. African Dept. |
| The Physical Object | |
|---|---|
| Pagination | 25 p. : |
| Number of Pages | 25 |
| ID Numbers | |
| Open Library | OL20239763M |
In the book "Subordinated Levy Processes and Applications to Crude Oil Options," Noureddine Krichene provides an in-depth examination of the petroleum industry and trade, with a specific focus on econometric models for commodity exchanges and crude oil price analysis. Published in 2005, this book offers valuable insights into the complex dynamics of the petroleum market and serves as a valuable resource for professionals, researchers, and enthusiasts alike.
The petroleum industry plays a critical role in the global economy, and understanding its dynamics is essential for businesses, policymakers, and investors. "Subordinated Levy Processes and Applications to Crude Oil Options" delves into various aspects of the petroleum industry, shedding light on econometric models used for analyzing commodity exchanges and crude oil prices.
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