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

B-Tier
Journal: Econometric Theory
Year: 1997
Volume: 13
Issue: 6
Pages: 791-807

Authors (2)

Knight, John L Satchell, Stephen E. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:13:y:1997:i:06:p:791-807_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25