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.
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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 1999 Annual meeting, August 8-11, Nashville, TN with number
21708.
Length: Date of creation: 1999 Date of revision: Handle: RePEc:ags:aaea99:21708
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