Implementing Option Pricing Models When Asset Returns Are Predictable
- 1 March 1995
- journal article
- Published by JSTOR in The Journal of Finance
- Vol. 50 (1) , 87-129
- https://doi.org/10.2307/2329240
Abstract
The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula...Keywords
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