Application of Option Pricing Framework for Analyzing and Predicting Stock Prices in Energy Markets
| Autor: | Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Valuation of options
0202 electrical engineering electronic engineering information engineering Econometrics Economics 020201 artificial intelligence & image processing 02 engineering and technology 010501 environmental sciences 01 natural sciences Lévy process Stock (geology) 0105 earth and related environmental sciences |
| Zdroj: | International Journal of Scientific Research in Science, Engineering and Technology. :39-57 |
| ISSN: | 2394-4099 2395-1990 |
| DOI: | 10.32628/ijsrset2073138 |
| Popis: | In this study, the evaluation of the pricing framework for predicting West Texas Intermediate crude oil stock was implemented where detailed analysis with varying changepoint shows that an arbitrage-free forward price can be derived from the buy-and hold strategy in the energy market thereby enabling investors in the market willing to be salvage from the market uncertainties as well as Arrow-Debreu situations to execute a spot or forward contracts depending on the time and place the market becomes favorable. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|