The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Black, Fischer (1938–1995)

  • Perry G. Mehrling
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2179

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.

Keywords

American Finance Association BDT (Black–Derman–Troy) term structure model Black, F. Black–Litterman model Black–Scholes formula Capital asset pricing model Futures markets Lucas, R. Merton, R. Noise trading Option pricing theory Prescott, E. Real business cycles Scholes, M. Zero-beta model 

JEL Classifications

B31 
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Bibliography

  1. 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.CrossRefGoogle Scholar
  2. Mehrling, P. 2005. Fischer Black and the revolutionary idea of finance. Hoboken: Wiley.Google Scholar
  3. Merton, R. 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4: 141–183.CrossRefGoogle Scholar
  4. Sharpe, W. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19: 425–442.Google Scholar
  5. Treynor, J. 1962. Toward a theory of market value of risky assets. In Asset pricing and portfolio performance, ed. R. Korajczyk. London: Risk Books.Google Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Perry G. Mehrling
    • 1
  1. 1.