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- W2024149471 abstract "Black-Scholes price estimate of a call is commonly formed by using an estimate of the stock return variance rate in the formula. This, however, produces systematic bias with respect to the model's value with the true variance rate. This paper proposes a new procedure to form Black-Scholes price estimates using Taylor series approximation. Our Monte Carlo results favour the new procedure over the common and the recently proposed Butler-Schachter approaches when bias magnitude and any systematic pattern thereof are the relevant concerns." @default.
- W2024149471 created "2016-06-24" @default.
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- W2024149471 date "1989-04-01" @default.
- W2024149471 modified "2023-09-24" @default.
- W2024149471 title "AN APPROXIMATELY UNBIASED ESTIMATOR FOR THE THEORETICAL BLACK-SCHOLES EUROPEAN CALL VALUATION" @default.
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- W2024149471 doi "https://doi.org/10.1111/j.1467-8586.1989.tb00285.x" @default.
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