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 Black-Scholes framework and can more easily price options with complex structures.


Issue Date:
1999
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21708
Total Pages:
13
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-22

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