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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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    Citations

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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. 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).
    3. William R. Melick & Charles P. Thomas, 1992. "War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis," International Finance Discussion Papers 437, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    JEL classification:

    • F0 - International Economics - - General

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