Major Works of Robert C. Merton

• "A Complete Model of Warrant Pricing that Maximizes Utility", with P.A. Samuelson, 1969, Industrial Management Review
• "Lifetime Portfolio Selection under Uncertainty: The continuous time case", 1969, REStat
• "Optimum Consumption and Portfolio Rules in a Continuous Time Model", 1971, JET
• "An Analytic Derivation of the Efficient Portfolio Frontier", 1972, J of Financial and Quantitative Analysis
• "An Intertemporal Capital Asset Pricing Model", 1973, Econometrica
• "Theory of Rational Option Pricing", 1973, Bell JE
• "On the Pricing of Corporate Debt: the risk structure of interest rates", 1974, J of Finance
• "The Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making Over Many Periods", with P.A. Samuelson, 1974, J of Financial Econ
• "An Asymptotic Theory of Growth under Uncertainty", 1975, RES
• "Theory of Finance from the Perspective of Continuous Time", 1975, J of Financial and Quantit Analysis
• "Option Pricing when the Underlying Stock Returns are Discontinuous", 1976, J of Financial Econ
• "On the Pricing of Contingent Claims and the Modigliani-Miller Theorem", 1977, J of Financial Econ
• "A Re-Examination of the Capital Asset Pricing Model", 1977, in Friend and Bicksler, editors, Studies in Risk and Return
• "On the Cost of Deposit Insurance when there are Surveillance Costs", 1978, J of Business
• "On Estimating Expected Returns on the Market: An exploratory investigation", 1980, J of Financial Econ
• "On the Microeconomic Theory of Investment and Certainty", 1982, in Arrow and Intriligator, editors, Handbook of Mathematical Economics: Vol. 2.
• "On the Mathematics and Economics Assumptions of Continuous- Time Financial Models", 1982, in Sharpe and Cootner, editors, Financial Economics
• "Variance Bounds in a Simple Model of Asset Pricing", 1982, JPE
• "Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices", with T. Marsh, 1986, AER
• "A Simple Model of Capital Market Equilibrium with Incomplete Information", 1987, J of Finance
• "On the Current State of the Stock Market Rationality Hypothesis", 1987, in Fisher, Dornbush and Bossons, editors, Macroeconomics and Finance
• "On the Application of Continuous-Time Theory of Finance to Financial Intermediation and Insurance", 1989, Papers on Risk and Insurance
• Continuous Time Finance, 1990.

Resources on Robert Merton

• R.C. Merton's website
• R.C. Merton's homepage at MIT
• R.C. Merton homepage at Harvard BS
• Press Release of Nobel Award
• Background Information of Nobel Award
• Option Pricing in Theory & Practice: The Nobel Prize Research of Robert C. Merton - Exhibition at the Baker Library, Harvard Business School
• Merton entry at Concise Encycl of Economics at Liberty Fund
• Merton entry at Britannica
• Wikipedia