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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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Authors and Affiliations

  1. Utrecht School of Economics, Utrecht University, Utrecht, The Netherlands

    Peter-Jan Engelen

  2. Institute for Development Policy and Management, University of Antwerpen, Antwerpen, Belgium

    Danny Cassimon

Authors
  1. Peter-Jan Engelen
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  2. Danny Cassimon
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Correspondence to Peter-Jan Engelen .

Editor information

Editors and Affiliations

  1. Montpellier, France

    Alain Marciano

  2. Dept DiGSPES, Univ del Piemonte Orientale Dept DiGSPES, Alessandria, Italy

    Giovanni Battista Ramello

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Engelen, PJ., Cassimon, D. (2016). Option Prices Models. In: Marciano, A., Ramello, G. (eds) Encyclopedia of Law and Economics. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-7883-6_356-1

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  • DOI: https://doi.org/10.1007/978-1-4614-7883-6_356-1

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  • Online ISBN: 978-1-4614-7883-6

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