 The Contributions of Professors Fischer Black, Robert Merton and Myron Scholes to the Financial Services IndustryTerry Marsh and Takao Kobayashi () International Review of Finance, 2000, vol. 1, issue 4, 295-315 Abstract: This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black. We first provide a brief and very selective review of their seminal work in contingent claims pricing. We then provide an overview of some of the recent research on stock price dynamics as it relates to contingent claim pricing. The continuing intensity of this research, some 25 years after the publication of the original Black–Scholes paper, must surely be regarded as the ultimate tribute to their work. We discuss jump‐diffusion and stochastic volatility models, subordinated models, fractal models and generalized binomial tree models for stock price dynamics and option pricing. We also address questions as to whether derivatives trading poses a systemic risk in the context of models in which stock price movements are endogenized, and give our views on the ‘LTCM crisis’ and liquidity risk. Date: 2000 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:1:y:2000:i:4:p:295-315 Ordering information: This journal article can be ordered from Access Statistics for this article International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman More articles in International Review of Finance from International Review of Finance Ltd. |
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