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      • August 1983
      • Background Note

      Note on Replicating Options with Position on Stock and Cash

      By: Andre F. Perold
      Keywords: Stocks; Cash
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      Perold, Andre F. "Note on Replicating Options with Position on Stock and Cash." Harvard Business School Background Note 284-006, August 1983.
      • January 1983 (Revised February 1988)
      • Case

      Hospital Corp. of America (B)

      By: W. Carl Kester
      Focuses on HCAs financing options for reaching its target capital structure. The options include new equity conversion of convertible debentures, a debt-for-equity swap, the sale of assets, and fixed-rate debt. Students must address the problem of market timing and... View Details
      Keywords: Assets; Capital Structure; Cash Flow; Equity; Debt Securities; Credit Derivatives and Swaps; Health Industry; United States
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      Kester, W. Carl. "Hospital Corp. of America (B)." Harvard Business School Case 283-054, January 1983. (Revised February 1988.)
      • March 1982 (Revised September 1985)
      • Case

      Sealed Air Corporation

      By: Robert J. Dolan
      Market leadership and technological innovation have marked Sealed Air's participation in the U.S. protective packaging market. Several small regional producers have introduced products which are less effective than Sealed Air's but similar in appearance and cheaper.... View Details
      Keywords: Product Marketing; Product; Technological Innovation; Supply and Industry; Competitive Advantage; Consumer Products Industry; United States
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      Dolan, Robert J. "Sealed Air Corporation." Harvard Business School Case 582-103, March 1982. (Revised September 1985.)
      • January 1982
      • Article

      The Returns and Risk of Alternative Put Option Portfolio Investment Strategies

      By: Robert C. Merton, Myron S. Scholes and Matthew L. Gladstein
      Keywords: Risk and Uncertainty; Investment; Strategy
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      Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. "The Returns and Risk of Alternative Put Option Portfolio Investment Strategies." Journal of Business 55 (January 1982): 183–242.
      • Article

      Value of Information with Sequential Futures Markets

      By: Jerry R. Green
      The effects of an improvement in information on the efficiency of risk-bearing are studied under various systems of incomplete markets. With sequential futures markets for uncontingent delivery, the welfare effects are indeterminate in sign, except under special... View Details
      Keywords: Information; Financial Markets; Mathematical Methods
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      Green, Jerry R. "Value of Information with Sequential Futures Markets." Econometrica 49, no. 2 (March 1981): 335–358.
      • January 1980 (Revised April 1994)
      • Case

      New Balance Athletic Shoes

      By: Kim B. Clark
      Faced with growth exceeding 100% per year, James Davis, president of New Balance, must decide how to meet the need for additional capacity. Several factors contribute to a climate of extreme uncertainty. Several options are considered, ranging from a second shift to... View Details
      Keywords: Factories, Labs, and Plants; Forecasting and Prediction; Financial Strategy; Information; Growth Management; Organizational Design; Performance Capacity; Risk and Uncertainty; Apparel and Accessories Industry; Republic of Ireland
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      Clark, Kim B. "New Balance Athletic Shoes." Harvard Business School Case 680-110, January 1980. (Revised April 1994.)
      • Article

      The Impact of Listed Options on the Underlying Shares

      By: Samuel Hayes and Michael Tennenbaum
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      Hayes, Samuel, and Michael Tennenbaum. "The Impact of Listed Options on the Underlying Shares." Financial Management 8, no. 4 (Winter 1979): 72–76.
      • April 1978
      • Article

      The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

      By: Robert C. Merton, Myron S. Scholes and Matthew L. Gladstein
      Keywords: Risk and Uncertainty; Investment; Strategy
      Citation
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      Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. "The Returns and Risk of Alternative Call Option Portfolio Investment Strategies." Journal of Business 51 (April 1978): 183–242.
      • 1977
      • Working Paper

      Mitigating Demographic Risk Through Social Insurance

      By: Jerry R. Green
      A two-period lifetime overlapping generations growth model is used to evaluate the possibility that social insurance can effectively offset economic risks associated with uncertainty about the rate of population growth. Crude measures of the seriousness of this type of... View Details
      Keywords: Social Insurance; Econometric Models; Public Sector; Government Administration; Policy; Human Needs; Social Issues; Risk and Uncertainty
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      Green, Jerry R. "Mitigating Demographic Risk Through Social Insurance." NBER Working Paper Series, No. 215, November 1977.
      • June 1977
      • Article

      An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory

      By: Robert C. Merton
      Keywords: Cost; Insurance; Financing and Loans; Price; Theory
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      Merton, Robert C. "An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory." Journal of Banking & Finance 1 (June 1977): 3–11.
      • May 1976
      • Article

      The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns

      By: Robert C. Merton
      Keywords: Price; Stocks
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      Merton, Robert C. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns." Journal of Finance 31, no. 2 (May 1976): 333–350.
      • January–February 1976
      • Article

      Option Pricing When Underlying Stock Returns are Discontinuous

      By: Robert C. Merton
      Keywords: Price; Stocks; Assets
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      Merton, Robert C. "Option Pricing When Underlying Stock Returns are Discontinuous." Journal of Financial Economics 3 (January–February 1976): 125–144. (Chapter 9 in Continuous-Time Finance.)
      • November 1975 (Revised October 1976)
      • Case

      Cross River Products

      By: Steven C. Wheelwright
      Describes production task of meeting peak seasonal demands in a light manufacturing plant. Information is provided for evaluating the options of overtime, second shift, second production line, and inventory buildup. View Details
      Keywords: Buildings and Facilities; Information; Labor; Demand and Consumers; Production; Supply Chain
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      Wheelwright, Steven C. "Cross River Products." Harvard Business School Case 676-086, November 1975. (Revised October 1976.)
      • March 1973
      • Article

      The Relationship between Put and Call Option Prices: Comment

      By: Robert C. Merton
      Keywords: Price; Stocks
      Citation
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      Merton, Robert C. "The Relationship between Put and Call Option Prices: Comment." Journal of Finance 28, no. 1 (March 1973): 183–184.
      • spring 1973
      • Article

      Theory of Rational Option Pricing

      By: Robert C. Merton
      Keywords: Theory; Price
      Citation
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      Merton, Robert C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, no. 1 (spring 1973): 141–183. (Chapter 8 in Continuous-Time Finance.)
      • 1968
      • Mimeo

      Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions

      By: Robert C. Merton
      Keywords: Stock Options; Valuation; Trade
      Citation
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      Merton, Robert C. "Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions." Massachusetts Institute of Technology (MIT), August 1968. Mimeo.
      • Teaching Interest

      Business Opportunties in Climate Adaptation

      By: John D. Macomber

      This is a Short Intensive Program or SIP at Harvard Business School.  It’s an optional student offering prior to the formal start of the Spring semester the following week.  SIPs tend to cover new material on current topics, to be less formal than the HBS Case Study... View Details

      Keywords: Resilience; Climate Risk; Climate Impact; Fire Protection; Insurance Risk Exposure; Hedge Fund; Public Health; Public Health Measures; Climate Change; Adaptation; Infrastructure; Real Estate Industry; Transportation Industry; Insurance Industry; United States; Africa; Latin America
      • Forthcoming
      • Article

      Calling All Issuers: The Market for Debt Monitoring

      By: Huaizhi Chen, Lauren Cohen and Weiling Liu
      95% of long-term municipal bonds have callable features, and yet we find new evidence of a substantial fraction of local governments exercising these valuable options sub-optimally, with significant delays – resulting in sizable losses. Using data from 2001 to 2019, we... View Details
      Keywords: Bonds; Financial Institutions; Governing Rules, Regulations, and Reforms; Government Administration; Financing and Loans
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      Chen, Huaizhi, Lauren Cohen, and Weiling Liu. "Calling All Issuers: The Market for Debt Monitoring." Management Science (forthcoming). (Pre-published online November 1, 2024.)
      • Research Summary

      Come Together: Firm Boundaries and Delegation

      By: Laura Alfaro
      We develop an incomplete-contracts model to jointly study firm boundaries and the allocation of decision rights within them. Integration has an option value: it gives firm owners authority to delegate or centralize decision rights, depending on who can best solve... View Details
      • Teaching Interest

      Digital Innovation and Transformation – MBA Elective Curriculum

      By: Feng Zhu
       

      Digital Innovation and Transformation is designed to equip students to confidently help conceive, lead and execute digital innovation initiatives and develop new business models for existing and insurgent organizations. The basic premise of the course... View Details

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