Implementing Option Pricing Models When Asset Returns Are Predictable

Abstract
The predictability of an asset's return will affect the process of options on that asset. The authors construct an adjustment for predictability to the Black-Scholes formula.
Volume
50:1
Page
87-129
Year
1995
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Asset Classes
Actuarial Applications and Methodologies
Valuation
Publications
Journal of Finance