A Numerical Quadrature Approach to Option Valuation in Water Markets

The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a solution when applied to non-standard options such as those emerging in water markets. An alternative tool, numerical quadrature, avoids some restrictive assumptions of the BlackScholes framework and can more easily price options with complex structures.


Issue Date:
Aug 08 1999
Publication Type:
Conference Paper/ Presentation
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/271489
Language:
English
Total Pages:
13




 Record created 2018-04-16, last modified 2020-10-28

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)