A NUMERICAL QUADRATURE APPROACH TO OPTION VALUATION IN WATER MARKETS

Michele T. Villinski

No 21708, 1999 Annual meeting, August 8-11, Nashville, TN from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: 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.

Keywords: Research Methods/ Statistical Methods (search for similar items in EconPapers)
Date: 1999
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