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

John L Knight and Stephen E. Satchell

Econometric Theory, 1997, vol. 13, issue 06, pages 791-807

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.

Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:06:p:791-807_00

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