Hoque, Ariful and Manzur, Meher and Poitras, Geoffrey (2010) Put-call parity, transactions costs and PHLX currency options: intra-daily tests. In: MFA 2010: 59th Midwest Finance Association Annual Conference, 24-27 Feb 2010, Las Vegas, USA.
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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:||Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)|
|Additional Information:||Awaiting paper from author.|
|Uncontrolled Keywords:||put-call parity; market efficiency; arbitrage; European options|
|Depositing User:||Dr Ariful Hoque|
|Date Deposited:||22 Oct 2010 04:02|
|Last Modified:||03 Jul 2013 00:03|
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