MEASURING PRICE UNCERTAINTY OF IRAN’S HEAVY OIL AND OPEC BASKET: AN APPLICATION OF STOCHASTIC DIFFERENTIAL EQUATIONS

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TAYEBI SEYED KOMEIL; KHOSHAKHLAGH RAHMAN; FARAHANI MARYAM

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Journal: ENERGY ECONOMICS REVIEW Year:2012 | Volume:8 | Issue:31 Page(s): 1-23

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Information Journal Paper

Title

MEASURING PRICE UNCERTAINTY OF IRAN’S HEAVY OIL AND OPEC BASKET: AN APPLICATION OF STOCHASTIC DIFFERENTIAL EQUATIONS

Author(s)

TAYEBI SEYED KOMEIL | KHOSHAKHLAGH RAHMAN | FARAHANI MARYAM | Issue Writer Certificate

Keywords

UNCERTAINTYQ2

OIL PRICE MODELINGQ2

STOCHASTIC DIFFERENTIAL EQUATIONQ2

Abstract

While there have been many studies of the behavior of oil prices using various approaches such as Hoteling and fundamental models, UNCERTAINTY has been relatively ignored by most of the models. Stochastic models in the form of STOCHASTIC DIFFERENTIAL EQUATIONs have the ability to track UNCERTAINTY. These equations include the non-differentiable Weiner process. These equations are associated with some complicated breaking methods, which can produce information about the level of UNCERTAINTY in prices.The goal of this paper is to analyze UNCERTAINTY of the price of Iran’s heavy oil and OPEC basket by STOCHASTIC DIFFERENTIAL EQUATION for the period 1990-2010. To this end, we have specified STOCHASTIC DIFFERENTIAL EQUATIONs, developed them by the Brownian motion through programming the process in MATLAB, and then estimated the value of oil price UNCERTAINTY (s). Comparing the results obtained for prices of Iran’s heavy oil and the OPEC basket, we find that, for the most years, Iran’s oil price UNCERTAINTY is lower than that of the OPEC basket. In addition, through this study, the variation of UNCERTAINTY in oil prices over time is identified.

Cites

THE EFFECT OF OIL EXPORT CONCENTRATION ON ECONOMIC GROWTH IN OPEC COUNTRIES

References

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APA: Copy

TAYEBI, SEYED KOMEIL, KHOSHAKHLAGH, RAHMAN, & FARAHANI, MARYAM. (2012). MEASURING PRICE UNCERTAINTY OF IRAN’S HEAVY OIL AND OPEC BASKET: AN APPLICATION OF STOCHASTIC DIFFERENTIAL EQUATIONS. ENERGY ECONOMICS REVIEW, 8(31), 1-23. SID. https://sid.ir/paper/99482/en

Vancouver: Copy

TAYEBI SEYED KOMEIL, KHOSHAKHLAGH RAHMAN, FARAHANI MARYAM. MEASURING PRICE UNCERTAINTY OF IRAN’S HEAVY OIL AND OPEC BASKET: AN APPLICATION OF STOCHASTIC DIFFERENTIAL EQUATIONS. ENERGY ECONOMICS REVIEW[Internet]. 2012;8(31):1-23. Available from: https://sid.ir/paper/99482/en

IEEE: Copy

SEYED KOMEIL TAYEBI, RAHMAN KHOSHAKHLAGH, and MARYAM FARAHANI, “MEASURING PRICE UNCERTAINTY OF IRAN’S HEAVY OIL AND OPEC BASKET: AN APPLICATION OF STOCHASTIC DIFFERENTIAL EQUATIONS,” ENERGY ECONOMICS REVIEW, vol. 8, no. 31, pp. 1–23, 2012, [Online]. Available: https://sid.ir/paper/99482/en

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