UsingOptionsPricestoInferPDF’sforAssetPrices:AnApplicationtoOilPricesDuringtheGulfCrisis
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“CorrespondencehouldbedirectedtoC.Thomas,MailStop#42,FederalReserveBoard,WashingtonDC20551;Tel:(202)452-3698;Email:thomasc@frb.gov.TheauthorsarestaffeconomistsintheDivisionofInternationalFinance,BoardofGovernorsoftheFederalReserveSystem.ThispaperrepresentstheviewsoftheauthorsandshouldnotbeinterpretedasreflectingtheviewsoftheBoardofGovernorsoftheFederalReserveSystemorothermembersofitsstaff.WewouldliketoespeciallythankDavidBates,JonFaust,GregDuffee,ChristianGilles,andEdGreenfortheirextensivecomments.WealsothankAlIanBrunner,NeilEricsson,JeffFuhrer,LudgerHentschel,andGeorgeMoore,aswellasseminarparticipantsatVanderbilt’sOwenSchoolofManagement,OhioStateUniversity,theAmericanFinanceAssociationwinter1995meetings,theBankforInternationalSettlements,heUniversityofNeuchatel,theDeutscheBundesbank,heEuropeanMonetaryInstitute,andtheFederalReserveBoardInternationalFinanceDivision.ElizabethVrankovichandDaraAkbarianprovidedvaluableresearchassistance.‘Otherstudieswhichfocusontheasset’sterminalpdfincludeBreedenandLitzenberger(1978),JarrowandRudd(1982),Shimko(1991),andMalz(1996).
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