Application of Binomial Option Pricing Model of Forecasting Oil Price Fluctuation
Due to the unanticipated influence, the forecast on petroleum price has always been a highly contentious issue. The Binary-Tree pricing model has natural advantages in predicting the fluctuation range of the petroleum price. It can be seen vividly that the future trend of oil price fluctuation and can show the abnormal range of oil price fluctuation range. In this article, the standard model of the Binary -Tree pricing model was used to examine the fluctuation range of oil price, showing great vitality to the Hull-White model, which the condition of use in application must be that the increasing probability p and the decrease probability q are equal. In this article, the weekly prices from January 3, 1986 to February 12, 2010, altogether 1260 weeks, were used to carry on the forecast and the analysis as the reference value, innovatively proposed the improvement model in oil price fluctuation forecast application method.
the binary-tree model hull-white model bell mouth oil price fluctuation forecast
Yongqing Shang Zhen Wang Qing Wang Lidong Zhong
School of Business Administration, China University of Petroleum (Beijing), Chang ping, China, 10220 School of Business Administration, China University of Petroleum (Beijing), Chang ping, China, 10220
国际会议
成都
英文
448-451
2010-07-09（万方平台首次上网日期，不代表论文的发表时间）