Источник: Futures: News, Analysis & Strategies for Futures, Options & Derivatives Traders, Dec97, Vol. 26 Issue 14, p20, 2p, 2c
Holter, James T.
SCHOLES, MERTON WIN NOBEL PRIZE
They finally got their due. Myron S. Scholes and Robert C. Merton won the Nobel prize for economic science for their options pricing model that has helped options trading grow into the billion industry it is today.
Merton and Scholes' model has generated "new types of financial instruments and facilitated more efficient risk management in society," said the Royal Swedish Academy of Sciences in its prize citation.
Scholes, 56, a professor emeritus at Stanford, developed the "BlackScholes" model with the late Goldman Sachs partner Fischer Black in 1973 while the two consulted for Wells Fargo Bank. Merton, 53, a Harvard professor, later worked with the two to modify the model to better match the real world.
"There has been extraordinary growth, not only in the direct application to options, but in using this modeling technology and idea to structure everything from prepayments on mortgages to exotic derivatives," Merton says.
He adds that while the markets and the model "evolved together, it's also fair to say the model had an impact on the rate of innovation and the breadth of innovation."
Scholes says that "without a model, intuition only takes you so far.... The model allowed people to use futures and options in ways they hadn't thought about before, and that created new demand. So you end up with an over-the-counter market, an exchange market [and] an academic market, all feeding off each other because of this demand."
While Black was integral in the development of the model, the Swedish Academy does not award Nobel prizes posthumously, although Black was often noted in the award citation.
The practical application of the model began early. In February 1976, Merton and Scholes started Money Market Options Investment Inc., an options-investing mutual fund. While the fund enjoyed some success, "We were a bit too early," Merton says. "As Myron will say, `Sometimes the early bird gets the worm, Sometimes the early bird gets frozen.'"
Scholes and Merton's association continues. They were among the 15 founding principals of the Greenwich, Conn.-based private hedge fund Long-Term Capital Management LP three years ago.
Scholes has a long association with another Nobel prize winner from the derivatives industry, Merton Miller. While Scholes was an MBA student at the University of Chicago in 1961, he worked as a computer researcher for Miller. Miller later was Scholes' thesis advisor and the chairman of his Ph.D. examining committee.