While macro-corporate-governance (e.g., addressing how a governance process should be administered within a corporate structure) seems to be widely discussed in academic literature, a discussion of micro-corporate-governance (e.g., assessing specific models, including regarding whether they...

This paper is an addendum to Henry C. Wurts, On micro-Corporate-Governance (micro-CG) issues regarding the Malliaris Single-Sentence (MSS) Derivation of the Black-Scholes-Merton (BSM) Equation, as a demonstration that Derivations Matter (DM) (August 28, 2021). Available at SSRN:...

The Black-Scholes-Merton (BSM) Equation, a deterministic fundamental partial differential equation (PDE) used to characterize price-movement of broad derivative financial instruments based on a stochastic representation of price-movement of a primitive financial instrument, can be derived from a...

This paper provides a retrospect of the Black-Scholes-Merton (BSM) argument that is used to derive the common BSM formula. The paper utilizes and builds upon a frame used to provide a retrospect of the Put-Call Parity (PCP) provided in Wurts (2018a). Accordingly, this paper fills a promise that...

This paper studies the US equity market during the COVID-19 period in the first half of 2020. There is a record rise, then a record fall in prices and then a record recovery. Throughout the period there was extreme volatility and much short term momentum with fear and greed alternating. The VIX...

The article considers the ways to overcome the methodological gap between the analysis of economic cycles and the pure economic theory as suggested by the Western economists in the 1920s and 1930s. In this context, N. D. Kondratiev’s project of economic dynamics is analyzed, which implied a...

With a risk-return perspective, this work presents an original framework enfolding several profit & loss diagrams for a variety of option strategies to be employed in the short-term, either for hedging or for speculative purposes. This work also discusses performance evaluation of several...

A critical aspect of trading Exchange-Traded Funds (ETFs) is the arbitrage trading strategy taken by authorized participants (APs) to keep ETF prices in line with their net asset values (NAVs). ETF arbitrage trading is a strategy that exploits the discrepancies between an ETF price and the value...

It is an addendum provided for:Wurts, Henry, A narrow 50-year retrospect of the original Black-Scholes-Merton Formula derivations (December 31, 2022). Available at SSRN: https://ssrn.com/abstract=4315460

Robert C. Merton is the School of Management Distinguished Professor of Finance at Massachusetts Institute of Technology, and the John and Natty McArthur University Professor Emeritus at Harvard University. Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new...