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The Use of NYMEX Options to Forecast Crude Oil Prices

Author

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  • James A. Overdahl
  • H. Lee Matthews

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.

Suggested Citation

  • James A. Overdahl & H. Lee Matthews, 1988. "The Use of NYMEX Options to Forecast Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  • Handle: RePEc:aen:journl:1988v09-04-a07
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    Cited by:

    1. Niall Farrell, Mel T. Devine, William T. Lee, James P. Gleeson, and Sean Lyons, 2017. "Specifying An Efficient Renewable Energy Feed-in Tariff," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    2. 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.).

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    JEL classification:

    • F0 - International Economics - - General

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