Implementing Option Pricing Models When Asset Returns Are Predictable
发现资产收益的可预测性会影响期权价格，即使可预测性通常由漂移项引起而漂移项不进入期权定价公式。作者对布莱克-斯科尔斯公式进行了可预测性调整，并证明即使可预测性很小，调整也可能很重要，尤其是对长期期权。
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. For discretely-sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black-Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longer maturity options. We propose several continuous-time linear diffusion processes that can capture broader forms of predictability, and provide numerical examples that illustrate their importance for pricing options.