Modeling Uncertainty of Iran’s Oil by Mean Reverting Stochastic Process

Seyyed Komeil Tayyebi; Rahaman Khoshakhlagh; Maryam Farahani

Volume 3, Issue 9 , January 2014, , Pages 175-197

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 ...  Read More