Publications

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Aggregate Dividend Behavior and Its Implications for Tests of Stock Market Rationality

1983 | Risk Management/Stocks | Paper
Marsh, Terry A., and Robert C. Merton. "Aggregate Dividend Behavior and Its Implications for Tests of Stock Market Rationality." MIT Sloan School of Management Working Paper Series, No. 1475-83, 1983.

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.

“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.

May 1974 | Risk Management/Stocks | Paper
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.)

The Optimality of a Competitive Stock Market

Spring 1974 | Risk Management/Stocks | Paper
Merton, Robert C., and Marti G. Subrahmanyam. “The Optimality of a Competitive Stock Market.” Bell Journal of Economics and Management Science 5, no. 1 (spring 1974): 145-170

Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics

1970 | Risk Management/Stocks | Paper
Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics" Ph.D. diss., Massachusetts Institute of Technology, 1970.

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.)