| Summary: | 碩士 === 淡江大學 === 產業經濟學系 === 91 === Taiwan is a densely populated island with only limited natural resources. Since energy plays a vital role in national economic development, the promulgation of the Petroleum Administration Law on October 11, 2002 had eased the regulations on Taiwan’s oil imports, allowed all varieties of petroleum products to be imported into Taiwan as of December 26, 2002.
This thesis investigates the prices of the unleaded gasoline, which are provided by the Energy Commission, Ministry of Economic Affairs, during the period 2002-2003. Empirical results show that the prices of the unleaded gasoline in Taiwan do not reveal mean reversion and jump diffusion characteristics.
The regular oil options traded on NYMEX are so-called “American Options”. Their payout depends on the value of underlying futures contract on maturity. By contrast, there is a kind of popular trading tool, called “Asian Option”, which creates a payout that depends on the average value of the underlying contract.
There are many discussions about the solutions to the pricing of Asian options, including numerical analysis; Monte Carlo Simulation is one of them. Applying this methodology, the value of the oil Asian option could be easily and effectively estimated.
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