Els Premis Nobel Merton i Schole : aportacions sobre la valoració d'opcions financeres


  • Màxim Borrell Vidal


The 1997 Nobel Prize for Economics was given fir technical rather than ideological reasons, viewing economics as business and finance. Options were developed to resolve problems of risk and flexibility. Black and Scholes found an efficient way to value these options to allow for an agile and massive trade. In fact when they tried out their formula it did not work. Black died before receiving the Nobel Prize. Merton developed the formulas and together with Scholes put in practice their theories in Long Term Capital Management, which has suffered recently very serious problems. The difusion process analysed in the random walk was taken front physics, developed by mathematicians such as Pye, Wiener, Bachelier, I to, and put into the architecture of Merton's building. The theory of option valuation is useful in many fields. Whenever there is a risk, a more or less efficient valuation of flexibility is necessary. Derivatives in finance using mathematics have acquired the same importance as derivatives in industry using chemistry.