Robert C. Merton

Research topics

• Financial Markets and Investment Strategies · 3 papers
• Stochastic processes and financial applications · 3 papers
• Financial Reporting and Valuation Research · 1 paper
• Complex Systems and Time Series Analysis · 1 paper
• Economic theories and models · 1 paper

Papers

1. Theory of rational option pricingWORLD SCIENTIFIC eBooks · 2005 · 7,366 citations

   AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put option oricinaRational option pricing along Black-Scholes linesAn alternative derivation of the Black-Scholes modelExtension of the model to include dividend payments and exercise…

2. An Intertemporal Capital Asset Pricing ModelEconometrica · 1973 · 6,818 citations

   An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand…

3. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time CaseThe Review of Economics and Statistics · 1969 · 5,396 citations

   OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model whzere his income is generated by returns on assets and these…