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Title: The Financialization of Crude Oil Options: An Analysis of the Effects of S&P 500 Implied Volatility on Crude Options Pricing
Authors: Han, Raymond
Advisors: Hong, Harrison
Department: Economics
Class Year: 2016
Abstract: This study analyzes the effects and prevalence of financialization within the sphere of crude oil options. By applying the logic and methods of studies done on the topic of futures, I examine the relationships between equity options and crude oil options to what extent do they track each other and explore possible causes and sensitivities. This study finds a clear relationship between the two markets, but notes the constantly evolving strength of correlation depending on the idiosyncratic nature of the current economic period examined.
Extent: 53 pages
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Economics, 1927-2016

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