War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis

Will Melick () and Charles P. Thomas

No 437, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

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.

Keywords: Power resources - Prices; Persian Gulf War, 1991 (search for similar items in EconPapers)
Date: Written
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