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On the pricing of contingent claims and the Modigliani-Miller theorem · Study

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ArticleOn the pricing of contingent claims and the Modigliani-Miller theorem

Robert C. Merton1977

Article1977

On the pricing of contingent claims and the Modigliani-Miller theorem

Robert C. Merton

266 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1958The Cost of Capital, Corporation Finance and the Theory of Investment 1973Theory of Rational Option Pricing 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing

Cited by

1998Application of option-pricing theory: twenty five years later 1997A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities 1989On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance 1992Investments in flexible production capacity 2014A Theory of Bank Liquidity Requirements 1987Alternative forms of deposit insurance 1989Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance 1989The Learning Curve and Optimal Production under Uncertainty

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1982The Pricing of Commodity-Linked Bondsarticle · 5 shared references 1985Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing modelarticle · 5 shared references 1999In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the Worldarticle · 5 shared references 2013Game Theory Models in Financechapter · 5 shared references 1976Option pricing when underlying stock returns are discontinuousarticle · 4 shared references 1976The option pricing model and the risk factor of stockarticle · 4 shared references

Details

Year1977

Typearticle

Published1977-11-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations266

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-405x(77)90020-4

openalex_workW2145378551

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