Publications

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A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm

1970 | Risk Management/Stocks | Book Chapter
Merton, Robert C. “A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm.” MIT Sloan School of Management Working Paper Series, No. 497-70, December 1970. (Chapter 11 in Continuous-Time Finance.)

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

August 1969 | Continuous-Time Finance | Paper
Merton, Robert C. “Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case.” The Review of Economics and Statistics 51 (August 1969): 247-257. (Chapter II of Ph.D. dissertation; Chapter 4 in Continuous-Time Finance.)

A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate

December 1969 | Financial Engineering | Paper
Merton, Robert C. “A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate.” Western Economic Journal 4 (December 1969): 307-318. (Chapter III of Ph.D. dissertation.)

A Complete Model of Warrant Pricing that Maximizes Utility

Winter 1969 | Miscellaneous | Paper
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.)

An Empirical Investigation of the Samuelson Rational Warrant Pricing Theory

Spring 1969 | Miscellaneous | Paper
Merton, Robert C. "An Empirical Investigation of the Samuelson Rational Warrant Pricing Theory." 1969 (Chapter V in Ph.D. dissertation; Class paper, Massachusetts Institute of Technology, spring 1969.)

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.

The ‘Motionless’ Motion of Swift’s Flying Island

April-June 1966 | Miscellaneous | Paper
Merton, Robert C. "The 'Motionless' Motion of Swift's Flying Island." Journal of the History of Ideas 27 (April-June 1966): 275-277