Title page for ETD etd-5498-83724


Type of Document Master's Thesis
Author Cahill, Steven
Author's Email Address scahill@moon.jic.com
URN etd-5498-83724
Title Efficient Market Forecasts Utilizing NYMEX Futures and Options
Degree Master of Arts
Department Economics
Advisory Committee
Advisor Name Title
Waud, Roger N. Committee Chair
Lutton, Thomas J. Committee Member
Reid, Brian K. Committee Member
Wentzler, Nancy A. Committee Member
Keywords
  • Futures
  • Options
  • Forecast
  • Natural Gas
Date of Defense 1998-05-28
Availability unrestricted
Abstract
This study develops a method for estimating confidence intervals surrounding futures based forecasts of natural gas prices. The method utilizes the Barone-Adesi and Whaley model for option valuation to "back-out" the market's assessment of the annualized standard deviation of natural gas futures prices. The various implied standard deviations are then weighted and combined to form a single weighted implied standard deviation following the procedures outlined by Chiras and Manaster. This option implied weighted standard deviation is then tested against the more traditional "historical" measure of the standard deviation. The paper then develops the procedure to transform the weighted standard deviation and futures price into a price range at the option expiration date. The accuracy of this forecast is then tested against 15 and 30 day average forecasts.
Files
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  thesis.pdf 97.81 Kb 00:00:27 00:00:13 00:00:12 00:00:06 < 00:00:01

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