Cover Image

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.
Year of publication:
1997
Authors: Knight, John L ; Satchell, Stephen E.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 13.1997, 06, p. 791-807
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005250158
Similar items by person