SCHOLARLY PUBLICATION

Merton, Robert C.

Alex Hamilton Chan

📖 Encyclopedia of Quantitative Finance 📅 2010-02-26 🔗 DOI: 10.1002/9780470061602.eqf01009

📄 Abstract

Abstract Robert C. Merton is John and Natty McArthur University Professor at Harvard Business School. He shared the Nobel Prize in Economic Sciences in 1997. He introduced Ito calculus to finance and economics and made significant contributions in asset pricing, corporate finance, empirical finance, and financial systems. His most notable works include the intertemporal capital asset pricing model, the Black–Scholes–Merton option pricing formula, the Merton jump‐diffusion model, and the Merton structural model for credit risk.

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