Abstract
Fischer Black derived the differential equation. Myron Scholes provided an interpretation and assisted in its solution. However, it was Robert Merton who sparked the revolution that transformed finance.
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Notes
Robert C. Merton, “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, 4(1) (1973), 141–83.
Robert C. Merton, “On the Pricing of Contingent Claims and the Modigliani-Miller Theorem,” Journal of Financial Economics, 5(3) (1977), 241–9.
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© 2012 Colin Read
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Read, C. (2012). The Theory. In: The Rise of the Quants. Great Minds in Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137026149_20
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DOI: https://doi.org/10.1057/9781137026149_20
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