Application of Option Pricing Framework for Analyzing and Predicting Stock Prices in Energy Markets

Authors

  • Victor Alexander Okhuese  Department of Mathematics, Pan African University Institute for Basic Science Technology and Innovation, Nairobi, Kenya
  • Jane Akinyi Aduda  College of Pure and Applied Sciences, Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya
  • Joseph Mung'atu  College of Pure and Applied Sciences, Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya

DOI:

https://doi.org/10.32628/IJSRSET2073138

Keywords:

Energy, contract, volatility, lévy process, jumps

Abstract

In this study, the evaluation of the pricing framework for predicting West Texas Intermediate crude oil stock was implemented where detailed analysis with varying changepoint shows that an arbitrage-free forward price can be derived from the buy-and hold strategy in the energy market thereby enabling investors in the market willing to be salvage from the market uncertainties as well as Arrow-Debreu situations to execute a spot or forward contracts depending on the time and place the market becomes favorable.

References

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International Journal of Scientific Research in Science, Engineering and Technology

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Published

2020-07-30

Issue

Volume 7, Issue 4, July-August-2020

Section

Research Articles

License

Copyright (c) IJSRSET

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung'atu "Application of Option Pricing Framework for Analyzing and Predicting Stock Prices in Energy Markets" International Journal of Scientific Research in Science, Engineering and Technology (IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 7, Issue 4, pp.39-57, July-August-2020. Available at doi : https://doi.org/10.32628/IJSRSET2073138