A NUMERICAL QUADRATURE APPROACH TO OPTION VALUATION IN WATER MARKETS

Michele 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)
Pages: 13
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea99:21708

DOI: 10.22004/ag.econ.21708

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