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Wednesday, July 06, 2005

Petróleo :¿Todo lo que sube tiene que bajar?

Muy interesante análisis de Econbrowser de las expectativas a un año más de precios de petróleo usando Black & Scholes

Econbrowser: $100 a barrel-- what are the odds?:

I've used that s = 0.36 value along with the futures price to set the mean m to illustrate this implied probability density for the June 2006 price of oil in the above figure, and tabulated the probability that this implies that the June 2006 oil price would be below any particular value P in the table below. The market is putting something like a 7% chance that oil will go above Simmons's $100, and a 15% chance it could go below Ayer's $40.

Implied probability distribution for June 2006 oil pricePrice (P)

$ per barrel Probability that
June 2006 price will be below

30 0.03

40 0.15

50 0.34

60 0.54

70 0.70

80 0.81

90 0.89

100 0.93


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