Publications

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The Returns and Risk of Alternative Put Option Portfolio Investment Strategies

January 1982 | Derivatives/Options | Paper
Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. “The Returns and Risk of Alternative Put Option Portfolio Investment Strategies.” Journal of Business 55 (January 1982): 183-242.

The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

April 1978 | Derivatives/Options | Paper
Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. “The Returns and Risk of Alternative Call Option Portfolio Investment Strategies.” Journal of Business 51 (April 1978): 183-242.

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

June 1977 | Derivatives/Options | Paper
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 and Finance 1 (June 1977): 3-11.

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 Relationship between Put and Call Option Prices: Comment

March 1973 | Derivatives/Options | Paper
Merton, Robert C. “The Relationship between Put and Call Option Prices: Comment.” Journal of Finance 28, no. 1 (March 1973): 183-184.

Theory of Rational Option Pricing

Spring 1973 | Derivatives/Options | Paper
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.)

Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions

1968 | Derivatives/Options | Book Chapter
Merton, Robert C. "Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions." Massachusetts Institute of Technology, 1968. Mimeo.