A NUMERICAL QUADRATURE APPROACH TO OPTION VALUATION IN WATER MARKETS
No hay miniatura disponible
Fecha
Autores
Título de la revista
ISSN de la revista
Título del volumen
Editor
Resumen
Descripción
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.