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

  • Merton, Robert C.

    (Harvard University)

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

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File URL: http://nobelprize.org/nobel_prizes/economics/laureates/1997/merton-lecture.pdf
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Paper provided by Nobel Prize Committee in its series Nobel Prize in Economics documents with number 1997-1.

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Length: 34 pages
Date of creation: 09 Dec 1997
Date of revision:
Handle: RePEc:ris:nobelp:1997_001
Note: From Nobel Lectures, Economics 1996-2000, Editor Torsten Persson, World Scientific Publishing Co., Singapore, 2003
Contact details of provider: Web page: http://www.nobelprize.org

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  1. 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.
  2. 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.
  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. 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.
  5. 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.
  6. 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.
  7. 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.
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