A Numerical Quadrature Approach to Option Valuation in Water Markets
Michele T. Villinski
No 271489, 1999 Annual meeting, August 8-11, Nashville, TN from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
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.
Keywords: Research Methods/ Statistical Methods; Resource /Energy Economics and Policy (search for similar items in EconPapers)
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