Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios
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.
Volume (Year): 13 (1997)
Issue (Month): 06 (December)
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