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Applications of Option-Pricing Theory: Twenty-Five Years Later

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  • Merton, Robert C

Abstract

Nobel Lecture to the memory of Alfred Nobel, December 9, 1997.

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Bibliographic Info

Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 88 (1998)
Issue (Month): 3 (June)
Pages: 323-49

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Handle: RePEc:aea:aecrev:v:88:y:1998:i:3:p:323-49

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References

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  1. Constantinides, George M. & Ingersoll, Jonathan Jr., 1984. "Optimal bond trading with personal taxes," Journal of Financial Economics, Elsevier, vol. 13(3), pages 299-335, September.
  2. Anderson, James E., 1987. "Quotas as options: Optimality and quota license pricing under uncertainty," Journal of International Economics, Elsevier, vol. 23(1-2), pages 21-39, August.
  3. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
  4. Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," The Journal of Business, University of Chicago Press, vol. 51(4), pages 653-72, October.
  5. Breeden, Douglas T., 1984. "Futures markets and commodity options: Hedging and optimality in incomplete markets," Journal of Economic Theory, Elsevier, vol. 32(2), pages 275-300, April.
  6. Raymond Chiang & Tsong-Yue Lai & David C. Ling, 1986. "Retail Leasehold Interests: A Contingent Claim Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 216-229.
  7. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
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Cited by:
  1. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  2. Michael T. Gapen & Dale F. Gray & Cheng Hoon Lim & Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers 05/155, International Monetary Fund.
  3. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan.
  4. Streissler, Erich W., 2001. "Globalizáció, tőkepiacok és az állam szerepe
    [Globalization, capital markets and the role of the state]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-17.
  5. Brian Loasby, 1999. "Making Connections - A Review of Neil M. Kay, Pattern in Corporate Evolution," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 6(3), pages 439-452.
  6. Bellalah, Mondher, 2006. "On derivatives and information costs," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 30-51.
  7. Adrian POP, 2005. "La Politique de Dette Subordonnée comme alternative au IIIè Pilier de Bâle II : est-elle faisable?," Discussion Papers (REL - Recherches Economiques de Louvain) 2005023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  8. Stuart Holland & Teresa Carla Oliveira, 2013. "Missing Links: Hume, Smith, Kant and Economic Methodology," Economic Thought, World Economics Association, vol. 2(2), pages 46, October.
  9. V. Bosetti & J.M. Conrad & E. Messinat, 2004. "The Value of Flexibility: Preservation, Remediation, or Development for Ginostra?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 29(2), pages 219-229, October.
  10. Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005 407, Society for Computational Economics.
  11. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  12. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research.
  13. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 213-228, Fall.
  14. Shin S. Ikeda, 2013. "A Contingent Claim Analysis of Suicide," GRIPS Discussion Papers 13-05, National Graduate Institute for Policy Studies.
  15. Wesseler, Justus, 2009. "The Santaniello theorem of irreversible benefits," MPRA Paper 25602, University Library of Munich, Germany.
  16. Bellalah, Mondher & El Farissi, Inass, 2002. "On Real Options and Information Costs," Economics Papers from University Paris Dauphine 123456789/3018, Paris Dauphine University.
  17. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
  18. Justus Wesseler, 2002. "The Option Value of Scientific Uncertainty on Pest - Resistance Development of Transgenic Crops," Others 0206001, EconWPA.
  19. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
  20. Baldwin, Carliss & Hienerth, Christoph & von Hippel, Eric, 2006. "How user innovations become commercial products: A theoretical investigation and case study," Research Policy, Elsevier, vol. 35(9), pages 1291-1313, November.
  21. Conrad, Jon M., 2000. "Wilderness: options to preserve, extract, or develop," Resource and Energy Economics, Elsevier, vol. 22(3), pages 205-219, July.

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