EXISTENCE OF UNBIASED ESTIMATORS OF THE BLACK SCHOLES OPTION PRICE, OTHER DERIVATIVES, AND HEDGE RATIOS/

Authors
KNIGHT JL SATCHELL SE
Citation
Jl. Knight et Se. Satchell, EXISTENCE OF UNBIASED ESTIMATORS OF THE BLACK SCHOLES OPTION PRICE, OTHER DERIVATIVES, AND HEDGE RATIOS/, Econometric theory, 13(6), 1997, pp. 791-807
Citations number
17
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
13
Issue
6
Year of publication
1997
Pages
791 - 807
Database
ISI
SICI code
0266-4666(1997)13:6<791:EOUEOT>2.0.ZU;2-Q
Abstract
In this paper, we reexamine the question of statistical bias in the cl assic Black/Scholes option price where randomness is due to the use of the historical variance. We show that the only unbiased estimated opt ion is an at the money option.