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- June 1977
- Article
An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory
By: Robert C. Merton
Merton, Robert C. "An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory." Journal of Banking & Finance 1 (June 1977): 3–11.
- 1976
- Working Paper
Continuous-Time Portfolio Theory and the Pricing of Contingent Claims
By: Robert C. Merton
Merton, Robert C. "Continuous-Time Portfolio Theory and the Pricing of Contingent Claims." Sloan School of Management Working Paper, No. 881-76, November 1976.
- September 1976
- Case
Del Norte Paper Co. (A)
Deals with a transfer pricing problem in a complex, international situation. A broad range of issues are present in the case, or are needed for a thorough case analysis. Such issues include: relevant costs; the appropriateness of profit centers; the appropriateness of...
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Sahlman, William A. "Del Norte Paper Co. (A)." Harvard Business School Case 177-034, September 1976.
- May 1976
- Article
The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns
By: Robert C. Merton
Merton, Robert C. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns." Journal of Finance 31, no. 2 (May 1976): 333–350.
- January–February 1976
- Article
Option Pricing When Underlying Stock Returns are Discontinuous
By: Robert C. Merton
Merton, Robert C. "Option Pricing When Underlying Stock Returns are Discontinuous." Journal of Financial Economics 3 (January–February 1976): 125–144. (Chapter 9 in Continuous-Time Finance.)
- 1975
- Working Paper
Information, Efficiency and Equilibrium
By: Jerry R. Green
When economic agents receive information over time concerning future events it is likely that prices for commodities whose value is influenced by these events will fluctuate in response to changes in the state of knowledge. If such events occur periodically,...
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Green, Jerry R. "Information, Efficiency and Equilibrium." Harvard Institute of Economic Research Discussion Paper, No. 284, December 1975.
- April 1975 (Revised November 1988)
- Case
La Grande Alliance-Restaurant Francaise
By: Claudine B. B. Malone and Carliss Y. Baldwin
Pricing of meals for exclusive French restaurant.
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Malone, Claudine B. B., and Carliss Y. Baldwin. "La Grande Alliance-Restaurant Francaise." Harvard Business School Case 175-266, April 1975. (Revised November 1988.)
- May 1974
- Article
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
By: Robert C. Merton
Merton, Robert C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance 29, no. 2 (May 1974): 449–470. (Chapter 12 in Continuous-Time Finance.)
- Article
Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions
By: Jerry R. Green
The existence of an equilibrium is proven for a two-period model in which there are spot transactions and futures transactions in the first period and spot markets in the second period. Prices at that date are viewed with subjective uncertainty by all traders. This...
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Green, Jerry R. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions." Econometrica 41, no. 6 (November 1973): 1103–1123.
- September 1973
- Article
An Intertemporal Capital Asset Pricing Model
By: Robert C. Merton
Merton, Robert C. "An Intertemporal Capital Asset Pricing Model." Econometrica 41, no. 5 (September 1973): 867–887. (Chapter 15 in Continuous-Time Finance.)
- September 1973 (Revised October 1980)
- Case
Sea Pines Racquet Club
By: W. Earl Sasser
The student is required to develop a strategy for a tennis club of a large resort area. The tennis director must decide how many courts he needs to build within the next three years, what surface they should have, and how much he should charge for their use....
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Keywords:
Price;
Service Operations;
Organizations;
Performance Capacity;
Planning;
Strategy;
Accommodations Industry;
Sports Industry
Sasser, W. Earl. "Sea Pines Racquet Club." Harvard Business School Case 674-011, September 1973. (Revised October 1980.)
- March 1973
- Article
The Relationship between Put and Call Option Prices: Comment
By: Robert C. Merton
Merton, Robert C. "The Relationship between Put and Call Option Prices: Comment." Journal of Finance 28, no. 1 (March 1973): 183–184.
- spring 1973
- Article
Theory of Rational Option Pricing
By: Robert C. Merton
Merton, Robert C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, no. 1 (spring 1973): 141–183. (Chapter 8 in Continuous-Time Finance.)
- January 1973
- Article
'Continuous-Time Speculative Processes': Appendix to Paul A. Samuelson's 'Mathematics of Speculative Price'
By: Robert C. Merton
Keywords:
Price
Merton, Robert C. "'Continuous-Time Speculative Processes': Appendix to Paul A. Samuelson's 'Mathematics of Speculative Price'." SIAM Review 15 (January 1973): 34–38.
- Article
Accounting Changes and Stock Prices
By: Robert S. Kaplan and Richard Roll
Kaplan, Robert S., and Richard Roll. "Accounting Changes and Stock Prices." Financial Analysts Journal (January–February 1973): 48–53.
- December 1971 (Revised December 1994)
- Background Note
Capital Structure Decision: Underlying Theory
Demonstrates hypothetically and numerically the share price valuation impact of changes in a firm's capital structure.
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Fruhan, William E., Jr. "Capital Structure Decision: Underlying Theory." Harvard Business School Background Note 272-096, December 1971. (Revised December 1994.)
- winter 1969
- Article
A Complete Model of Warrant Pricing that Maximizes Utility
By: Paul A. Samuelson and Robert C. Merton
Keywords:
Price
Samuelson, Paul A., and Robert C. Merton. "A Complete Model of Warrant Pricing that Maximizes Utility." Industrial Management Review 10 (winter 1969): 17–46. (Chapter IV of Ph.D. dissertation; Chapter 7 in Continuous-Time Finance.)
- 1969
- Other Unpublished Work
An Empirical Investigation of the Samuelson Rational Warrant Pricing Theory
By: Robert C. Merton