During class today, I referred to a journal article that I published early in my academic career that Professor Robert C. Merton cites in his Nobel Prize lecture (Merton shared the Nobel Prize in economics in 1997 with Myron Scholes “for a new method to determine the value of derivatives”).
Here’s the citation (and link) to Merton’s lecture:
Merton, Robert C., 1998, Applications of Option-Pricing Theory: Twenty-Five Years Later, The American Economic Review, Vol. 88, No. 3 (Jun. 1998), pp. 323-349.
See page 337, footnote 11 of Merton’s paper for the reference to Neil A. Doherty and James R. Garven (1986)… (Doherty and I “pioneered” the application of a somewhat modified version of the BSM model to insurance pricing; thus, Merton’s reference to our Journal of Finance paper in his Nobel Prize lecture).
Here is the APA-compliant listing for the above-referenced Doherty-Garven:
Doherty, Neil A. and James R. Garven. 1986. “Price Regulation in PropertyLiability Insurance: A Contingent Claims Approach.” Journal of Finance, 41 (5):1031-1050.
