MODELING UNCERTAINTY OF IRAN’S OIL BY MEAN REVERTING STOCHASTIC PROCESS

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TAYYEBI SEYED KOMAIL; KHOSHAKHLAGH RAHAMAN; FARAHANI MARYAM

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Journal: IRANIAN ENERGY ECONOMICS Year:2014 | Volume:3 | Issue:9 Page(s): 175-197

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Title

MODELING UNCERTAINTY OF IRAN’S OIL BY MEAN REVERTING STOCHASTIC PROCESS

Author(s)

TAYYEBI SEYED KOMAIL | KHOSHAKHLAGH RAHAMAN | FARAHANI MARYAM | Issue Writer Certificate

Keywords

UNCERTAINTYQ2

MEAN REVERTING STOCHASTIC PROCESSQ2

STOCHASTIC DIFFERENTIAL EQUATION MPANQ2

Abstract

UNCERTAINTY is different from risk. When a variable is having UNCERTAINTY, as oil prices where unique characteristics are expected, risk analysis can not explain the behavior of that variable. Stochastic differential equations are able to model the behavior of such variables. MEAN REVERTING STOCHASTIC PROCESS is a kind of stochastic differential equation which is assumed to have the variable fluctuating in the proximity of its long run average. In this paper, we measure a proxy of UNCERTAINTY for Iran's heavy oil prices by MEAN REVERTING STOCHASTIC PROCESS in the period of 1985-2009. The results indicate that the most uncertainties were in 2005, 2006 and 2007 and the least were in 1985, 1986 and 1998.

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APA: Copy

TAYYEBI, SEYED KOMAIL, KHOSHAKHLAGH, RAHAMAN, & FARAHANI, MARYAM. (2014). MODELING UNCERTAINTY OF IRAN’S OIL BY MEAN REVERTING STOCHASTIC PROCESS. IRANIAN ENERGY ECONOMICS, 3(9), 175-197. SID. https://sid.ir/paper/244890/en

Vancouver: Copy

TAYYEBI SEYED KOMAIL, KHOSHAKHLAGH RAHAMAN, FARAHANI MARYAM. MODELING UNCERTAINTY OF IRAN’S OIL BY MEAN REVERTING STOCHASTIC PROCESS. IRANIAN ENERGY ECONOMICS[Internet]. 2014;3(9):175-197. Available from: https://sid.ir/paper/244890/en

IEEE: Copy

SEYED KOMAIL TAYYEBI, RAHAMAN KHOSHAKHLAGH, and MARYAM FARAHANI, “MODELING UNCERTAINTY OF IRAN’S OIL BY MEAN REVERTING STOCHASTIC PROCESS,” IRANIAN ENERGY ECONOMICS, vol. 3, no. 9, pp. 175–197, 2014, [Online]. Available: https://sid.ir/paper/244890/en

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