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Finance / Implied volatility / Volatility / Foreign-exchange option / Put–call parity / Volatility smile / Local volatility / Mathematical finance / Financial economics / Options


Generating Options-Implied Probability Densities to Understand Oil Market Events
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Document Date: 2014-10-31 08:48:39

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File Size: 1,05 MB

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Company

Fleming / New York Mercantile Exchange / /

Country

Iran / /

Currency

cent / /

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Event

Labor Issues / /

Facility

NBER Summer Institute / terminal PDF / stable PDFs / /

IndustryTerm

crude oil futures / crude oil / oil supply / crude oil options / oil supply disruptions / oil derivatives / insurance measures / oil / oil prices / oil supply disruption / oil market dynamics / oil price movements / /

MarketIndex

S&P 500 / /

Organization

Board of Governors of the Federal Reserve System International Finance Discussion Papers Number / US Federal Reserve / Board of Governors / NBER Summer Institute / Federal Reserve Board / Understand Oil Market Events Deepa Dhume Datta Juan M. Londono Landon J. Ross Board of Governors of the Federal Reserve System NOTE / Federal Reserve / /

Person

Juan M. Londono Landon / Deepa Dhume Datta / David Bowman / John Ammer / Juan M. Londono / Charlie Thomas / Kang / Jeffrey Frankel / Kim / Melick / Andy Fiedler / Deepa Dhume Datta Juan / Landon J. Ross / Carl J. Liebersohn / /

Position

author / King / model for options prices on futures / Governor / e−rT / writer / General / /

Product

PDFs / Black / /

Region

West Texas / /

Technology

PDF / /

URL

www.ssrn.com / www.federalreserve.gov/pubs/ifdp / /

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