Myron Scholes

Overview

Myron Scholes (b. 1941) was at MIT at the time of the Black-Scholes (1973) paper, subsequently moving to the University of Chicago and Stanford. He was awarded the Nobel Prize in Economics in 1997 jointly with Robert Merton for the development of the Black-Scholes option pricing formula. His work established that the price of a derivative can be determined purely from no-arbitrage conditions given GBM dynamics, without specifying investors' risk preferences.

Key Contributions / Features

• Black-Scholes (1973): co-derivation of the European call pricing formula via continuous delta hedge; CAPM-based alternative derivation; corporate liabilities as options framework.
• Nobel Prize in Economics 1997 (with Robert Merton); Fischer Black died in 1995 before the award.

Related

• Fischer Black
• Black-Scholes Option Pricing
• Black-Scholes (1973)
• Stochastic Discount Factor