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Option Prices Models

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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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Author information

Authors and Affiliations

  1. Utrecht School of Economics (USE), Utrecht University, Utrecht, The Netherlands

    Peter-Jan Engelen

  2. Faculty of Business and Economics, University of Antwerp, Antwerpen, Belgium

    Peter-Jan Engelen

  3. Institute of Development Policy and Management (IOB), University of Antwerp, Antwerp, Belgium

    Danny Cassimon

Authors
  1. Peter-Jan Engelen
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  2. Danny Cassimon
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Corresponding author

Correspondence to Peter-Jan Engelen .

Editor information

Editors and Affiliations

  1. MRE and University of Montpellier, Montpellier, France

    Alain Marciano

  2. Faculté d’Economie, Université de Montpellier and LAMETA-UMR CNRS, Montpellier, France

    Alain Marciano

  3. DiGSPES, University of Eastern Piedmont, Alessandria, Italy

    Giovanni Battista Ramello

  4. IEL, Torino, Italy

    Giovanni Battista Ramello

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Engelen, PJ., Cassimon, D. (2019). Option Prices Models. In: Marciano, A., Ramello, G.B. (eds) Encyclopedia of Law and Economics. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-7753-2_356

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