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The Use of NYMEX Options to Forecast Crude Oil Prices

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  • James A. Overdahl
  • H. Lee Matthews
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    Abstract

    The recent introduction of traded options on crude oil futures contracts at the New York Mercantile Exchange (NYMEX) gives energy economists a new tool for forecasting the price of crude oil. Since the pricing of these options requires that market participants assess the probability distribution of future crude oil prices, a properly specified model of option pricing can be used to "back out" this assessment from observed option prices.

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    Bibliographic Info

    Article provided by International Association for Energy Economics in its journal The Energy Journal.

    Volume (Year): Volume 9 (1988)
    Issue (Month): Number 4 ()
    Pages:

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    Handle: RePEc:aen:journl:1988v09-04-a07

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    Cited by:
    1. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.).
    2. Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán, 2013. "Specifying An Efficient Renewable Energy Feed-in Tariff," MPRA Paper 49777, University Library of Munich, Germany.

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