Hoque, Ariful and Manzur, Meher and Poitras, Geoffrey (2010) Influence of transaction costs on foreign exchange option contracts: intra-daily tests. International Journal of Banking and Finance, 7 (2). pp. 1-18. ISSN 1675-7227
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Official URL: http://epublications.bond.edu.au/cgi/viewcontent.cgi?article=1086&context=ijbf
Abstract
This paper tests the impact of transactions 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.
| Item Type: | Article (Commonwealth Reporting Category C) |
|---|---|
| Uncontrolled Keywords: | put-call parity; market efficiency; arbitrage; European options |
| Fields of Research (FOR2008): | 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance 14 Economics > 1402 Applied Economics > 140210 International Economics and International Finance 14 Economics > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory) |
| Subjects: | UNSPECIFIED |
| Socio-Economic Objective (SEO2008): | B Ecomonic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900199 Financial Services not elsewhere classified |
| ID Code: | 8763 |
| Deposited By: | |
| Deposited On: | 12 Jan 2011 22:33 |
| Last Modified: | 02 Nov 2012 12:30 |
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