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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page War and Peace: Recovering the Market's Probability Distribution of Crude Oil Futures Prices During the Gulf Crisis
William R. Melick and Charles P. Thomas
1992-437  (October 1992)

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.

Full paper(481 KB PDF)

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