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Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios

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Author Info
Knight, John L
Satchell, Stephen E.
Abstract

In this paper, we reexamine the question of statistical bias in the classic Black/Scholes option price where randomness is due to the use of the historical variance. We show that the only unbiased estimated option is an at the money option.

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File URL: http://journals.cambridge.org/abstract_S0266466600006265
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 13 (1997)
Issue (Month): 06 (December)
Pages: 791-807
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Handle: RePEc:cup:etheor:v:13:y:1997:i:06:p:791-807_00

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  1. Darsinos, T. & Satchell, S.E., 2002. "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics 0217, Faculty of Economics, University of Cambridge. [Downloadable!]
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