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Twelfth Annual Lecture of the Geneva Association, presented at the Centre HEC-ISA, Jouy-en-Josas, France on June 29, 1988. The lecture draws heavily on the work presented in Chapter 14 of Merton (forthcoming). My thanks to the Alfred P. Sloan School of Management, Massachusetts Institute of Technology and the Graduate School of Business Administration, Harvard University for providing a reflective year during which this paper was written. I thank A. M. Eikeboom for technical assistance and D. A. Hannon for editorial assistance.
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Merton, R. On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance. Geneva Pap Risk Insur Issues Pract 14, 225–261 (1989). https://doi.org/10.1057/gpp.1989.21
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DOI: https://doi.org/10.1057/gpp.1989.21