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

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  • Knight, John L
  • Satchell, Stephen E.
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    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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    Cited by:
    1. Peter C.B.Phillips & Jun Yu, . "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Sim Kee Boon Institute for Financial Economics.
    2. van Garderen, Kees Jan, 2001. "Optimal prediction in loglinear models," Journal of Econometrics, Elsevier, Elsevier, vol. 104(1), pages 119-140, August.
    3. 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.
    4. John Knight & Stephen Satchell, 2005. "A Re-Examination of Sharpe's Ratio for Log-Normal Prices," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(1), pages 87-100.
    5. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge.

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