Robert C. Merton

An Intertemporal Capital Asset Pricing Model

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 o...

An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory

On the Cost of Deposit Insurance When There Are Surveillance Costs

In an earlier paper on the cost of deposit insurance and loan guarantees (Merton 1977a), I demonstrated an isomorphic correspondence between loan guarantees and common stock put...

An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory

Theory of rational option pricing

AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put optio...

On estimating the expected return on the market

Optimum consumption and portfolio rules in a continuous-time model