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The Merton model is a mathematical formula that stock analysts and commercial loan officers alike use to assess a business's credit default risk. The model is named after economist Robert C. Merton, who proposed the theory in 1974.
The Merton model is a mathematical formula that stock analysts and commercial loan officers alike use to assess a business's credit default risk. The model is named after economist Robert C. Merton, who proposed the theory in 1974. The Merton model assesses a company's structural credit risk by treating its equity as a call option on its assets.
The Merton model makes valuing a company simpler, helping analysts assess whether a company can remain solvent by analyzing the maturity and total amount of its debt.
This model calculates the theoretical pricing of European put and call options without taking into account dividends paid over the life of the option. However, the model can be adjusted to account for dividends by calculating the ex-dividend date value of the underlying stock.
The Merton model makes the following basic assumptions:
Variables considered in the formula include the option's strike price, current underlying price, risk-free rate, and the amount of time until expiration.
Robert C. Merton was a famous American economist and Nobel Prize winner who bought his first stock at the age of 10. He received a bachelor's degree in engineering from Columbia University, a master's degree in applied mathematics from the California Institute of Technology, and a PhD in economics from the Massachusetts Institute of Technology (MIT), where he subsequently served as a professor.
While working at MIT, Merton and fellow economists Fisher Black and Myron S. Scholes were studying issues related to option pricing and assisting each other. Black and Scholes published a seminal paper on the subject in 1973, "Options and the Pricing of Corporate Liabilities." Merton published "Corporate Debt Pricing: The Risk Structure of Interest Rates" early the following year, describing what became known as the Merton model.
Merton and Scholes won the Nobel Prize in Economics in 1997 (Black was deceased and could not win). The awards committee recognized them for developing "pioneering formulas for the valuation of stock options. Their methods paved the way for economic evaluation in multiple areas while also generating new financial instruments that promote more effective risk management in society."
Their most famous collaboration is now often referred to as the Blake-Scholes-Merton model.
A call option is a contract that allows the buyer to purchase a stock or other financial asset at a specified price by a specific date.
European options can only be exercised on the expiration date, while American options can be exercised at any time before expiration.
The risk-free rate is the rate of return on an investment that theoretically carries zero risk. This is theoretical because no investment is completely risk-free, although some investments have risk close to zero.
The Merton model is a mathematical formula developed by economist Robert C. Merton that assesses a company's structural credit risk by treating its equity as a call option on its assets. The model is often used by equity analysts and commercial loan officers to determine the credit default risk a company may face.
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默顿模型使得对公司的估值变得更加简单，帮助分析师评估公司是否能够保持偿付能力，通过分析其债务的到期日和总额。
该模型计算不考虑期权存续期内支付的红利的欧洲看跌和看涨期权的理论定价。然而，可以通过计算基础股票的除息日期价值来调整模型以考虑红利。
默顿模型做出以下基本假设：
公式中考虑的变量包括期权的行使价格、当前基础价格、无风险利率和到期前的时间量。
罗伯特·C·默顿是一位著名的美国经济学家和诺贝尔奖获得者，他在10岁时购买了自己的第一支股票。他在哥伦比亚大学获得工程学学士学位，在加州理工学院获得应用数学硕士学位，并在麻省理工学院（MIT）获得经济学博士学位，随后在该校担任教授。
在MIT工作期间，默顿和同行经济学家费舍尔·布莱克、迈伦·S·斯科尔斯都在研究期权定价相关问题，并互相协助。布莱克与斯科尔斯在1973年发表了关于该主题的开创性论文《期权与公司负债的定价》。默顿则在次年早期发表了《公司债务定价：利率的风险结构》，描述了后来被称为默顿模型的理论。
默顿和斯科尔斯在1997年获得诺贝尔经济学奖（布莱克已去世，无法获奖）。奖项委员会表彰他们开发了“股票期权估值的开创性公式。他们的方法为多个领域的经济评估铺平了道路，同时也产生了新型金融工具，促进了社会更有效的风险管理。”
他们最著名的合作如今通常被称为布莱克-斯科尔斯-默顿模型。
看涨期权是一种合同，允许买方在特定日期之前以指定价格购买股票或其他金融资产。
欧洲期权只能在到期日行使，而美式期权可以在到期前的任何时间行使。
无风险利率是指理论上带有零风险的投资的回报率。之所以是理论性的，是因为没有任何投资是完全没有风险的，尽管某些投资的风险接近于零。
默顿模型是由经济学家罗伯特·C·默顿开发的一种数学公式，通过将公司的股本视为其资产的看涨期权来评估公司的结构性信用风险。该模型常被股票分析师和商业贷款专员用于判断企业可能面临的信用违约风险。
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