Abstract
ABSTRACT Nine stochastic processes was applied to WTI crude oil prices, following the CKLS model suggested by Chan et al. (1982). In particular, the study period was divided into two parts for representing structural change in the oil price. The estimation results shows that the crude oil price volatilities follow different stochastic processes in two sub-periods. We can conclude that the main characteristics of the crude oil price dynamics do change over time. Thus, considering multiple stochastic processes for long-term analyses of crude oil price series is important. Also, option values were calculated for comparing the effects of contingent claims depends on periods.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
