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

Author

Listed:
  • Merton, Robert C.

    (Harvard University)

Abstract

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

Suggested Citation

  • Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.
  • Handle: RePEc:ris:nobelp:1997_001
    Note: From Nobel Lectures, Economics 1996-2000, Editor Torsten Persson, World Scientific Publishing Co., Singapore, 2003
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    References listed on IDEAS

    as
    1. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
    2. George M. CONSTANTINIDES & Jonathan E. INGERSOLL Jr., 2005. "Optimal Bond Trading With Personal Taxes," World Scientific Book Chapters,in: Theory Of Valuation, chapter 6, pages 165-206 World Scientific Publishing Co. Pte. Ltd..
    3. 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.
    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. 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.
    6. 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.
    7. 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 653-672, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Option pricing;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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