Applied Mathematics and Computation · 1990 · 14 citations · 19 references
EngineeringFinanceMathematicsDifferential EquationsFinancial EconomicsStochastic ProcessesAsset Return ModelingBrownian MotionDiffusion ProcessesFinancial MathematicsStochastic CalculusStochastic Differential EquationsItô CalculusStochastic Differential SystemsStochastic Processes In Finance
19
The Pricing of Options and Corporate Liabilities
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A Theory of the Term Structure of Interest Rates
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Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations
Social Sciences, Economics, Finance +16
Option pricing when underlying stock returns are discontinuous
Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text
Business, Finance, Asset Pricing +16