Journal article
Influence of transaction costs on foreign exchange option contracts: Intra-daily tests
The International Journal of Banking and Finance, Vol.7(2), pp.1-18
2010
Abstract
This paper tests the impact of transaction cost specification on deviations from lower boundary and put-call parity properties. Using PHLX traded foreign exchange options, prices for puts and calls are matched to the nearest five minutes. The results indicate how boundaries on the arbitrage profit function determined by alternative measures of transactions costs can impact the interpretation of deviations from distribution free properties of options such as put-call parity.
Details
- Title
- Influence of transaction costs on foreign exchange option contracts: Intra-daily tests
- Authors/Creators
- A. Hoque (Author/Creator)M. Manzur (Author/Creator)G. Poitras (Author/Creator)
- Publication Details
- The International Journal of Banking and Finance, Vol.7(2), pp.1-18
- Publisher
- The Berkeley Electronic Press,
- Identifiers
- 991005541788307891
- Murdoch Affiliation
- Murdoch University
- Language
- English
- Resource Type
- Journal article
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