Encyclopedia of Law and Economics

2019 Edition
| Editors: Alain Marciano, Giovanni Battista Ramello

Option Prices Models

  • Peter-Jan EngelenEmail author
  • Danny Cassimon
Reference work entry
DOI: https://doi.org/10.1007/978-1-4614-7753-2_356

Abstract

Option prices models refer to the overall collection of quantitative techniques to value an option given the dynamics of the underlying asset. Option prices models can be classified into European-style versus American-style models, into closed-form versus numerical expressions and into discrete versus continuous time approaches.

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Recommended Readings

  1. Derivagem (2014) Option calculator at http://www-2.rotman.utoronto.ca/~hull/software/index.html
  2. Hull JC (2011) Options, futures, and other derivatives, 8th edn. Pearson, UpperSaddle RiverGoogle Scholar

Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Utrecht School of Economics (USE)Utrecht UniversityUtrechtThe Netherlands
  2. 2.Faculty of Business and EconomicsUniversity of AntwerpAntwerpenBelgium
  3. 3.Institute of Development Policy and Management (IOB)University of AntwerpAntwerpBelgium