The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Merton, Robert C. (Born 1944)

  • Darrell Duffie
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2796

Abstract

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.

Keywords

American 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 

JEL Classifications

B31 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Darrell Duffie
    • 1
  1. 1.