50 Years and Counting: The Black–Scholes/Merton Derivatives Symposium
Wednesday, September 6, 2023

RISK PREFERENCES IMPLIED BY SYNTHETIC OPTIONS
-Ian Dew-Becker, Northwestern University
-Discussant: Jamil Baz, PIMCO

2023 marks the 50th anniversary of the publication of the pioneering articles on pricing options and other derivatives by Black and Scholes (1973) and Merton (1973), for which Merton and Scholes were awarded the Nobel Prize in Economics in 1997. In the modern history of all the social sciences, few ideas have had more impact on both theory and practice in such a short time span. These two publications launched well over two thousand others, and also served as the intellectual foundation for at least three multi-trillion-dollar industries—exchange-traded options, over-the-counter structured products, and credit derivatives. Generalizations of the Black–Scholes/Merton formula now span a huge spectrum of applications including swaps, insurance, real options, corporate finance, real estate, and macroprudential policy and systemic risk management. These contributions made a tremendous impact on modern finance by establishing finance as both a science and a field of engineering.