Merton, Robert C. (Born 1944)
Robert C. Merton, who developed the theory of option pricing with Myron Scholes and the Fischer Black, is responsible for a new approach to investments and asset pricing, based in part on stochastic calculus. Awarded the Nobel prize in 1997, Merton’s other contributions to financial economics include the intertemporal capital asset pricing model (ICAPM). He has written extensively on pension planning, social security, and bank deposit insurance.
KeywordsAmerican Finance Association Arbitrage Black, F. Black–Scholes option pricing model Derivative securities Intertemporal capital asset pricing model Long-Term Capital Management (LTCM) Markowitz, H. Mean-variance investment theory Merton, R. Miller, M. Modigliani, F. Rational option pricing theory Scholes, M. Sharpe, W. Stochastic calculus
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