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Black, Fischer (1938–1995)

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The New Palgrave Dictionary of Economics

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Abstract

Fischer Black is best known for the Black–Scholes option pricing formula, which he regarded as an application of the capital asset pricing model (CAPM). He understood the CAPM as a model of general economic equilibrium and extended it from finance to macroeconomics, including the theory of money and the theory of business cycles. His work reveals that finance was the origin of the dramatic changes in macroeconomic thinking in the last quarter of the 20th century.

This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume

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Bibliography

  • Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47: 13–37.

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  • Mehrling, P. 2005. Fischer Black and the revolutionary idea of finance. Hoboken: Wiley.

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  • Merton, R. 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4: 141–183.

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  • Sharpe, W. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19: 425–442.

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  • Treynor, J. 1962. Toward a theory of market value of risky assets. In Asset pricing and portfolio performance, ed. R. Korajczyk. London: Risk Books.

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  1. http://link.springer.com/referencework/10.1057/978-1-349-95121-5

    Perry G. Mehrling

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  1. Perry G. Mehrling
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    Mehrling, P.G. (2008). Black, Fischer (1938–1995). In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2179-1

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    • DOI: https://doi.org/10.1057/978-1-349-95121-5_2179-1

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    • Publisher Name: Palgrave Macmillan, London

    • Online ISBN: 978-1-349-95121-5

    • eBook Packages: Springer Reference Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences

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