Publications

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Continuous-Time Portfolio Theory and the Pricing of Contingent Claims

November 1976 | Continuous-Time Finance | Paper
Merton, Robert C. "Continuous-Time Portfolio Theory and the Pricing of Contingent Claims. [pdf]" MIT Sloan School of Management Working Paper Series, No. 881-76, November 1976.

Option Pricing When Underlying Stock Returns are Discontinuous

January-February 1976 | Derivatives/Options | Paper
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.)

The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns

May 1976 | Risk Management/Stocks | Paper
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.

Theory of Finance from the Perspective of Continuous Time

November 1975 | Continuous-Time Finance | Paper
Merton, Robert C. “Theory of Finance from the Perspective of Continuous Time” Journal of Financial and Quantitative Analysis 10 (November 1975): 659-674.

An Asymptotic Theory of Growth Under Uncertainty

July 1975 | Miscellaneous | Paper
Merton, Robert C. “An Asymptotic Theory of Growth Under Uncertainty.” Review of Economic Studies 42, no. 3 (July 1975): 375-393. (Chapter 17 in Continuous-Time Finance.)

Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods

May 1974 | Financial Engineering | Paper
Merton, Robert C., and Paul A. Samuelson. "Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods." Journal of Financial Economics 1 (May 1974): 67-94.

Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions

March 1974 | Financial Engineering | Paper
Samuelson, Paul A., and Robert C. Merton. “Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions.” Journal of Finance 29, no. 1 (March 1974): 27-40.