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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Official URL: http://www.sfu.ca/~poitras/MFA_$$$.pdf
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: | 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 |
| Fields of Research (FOR2008): | 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management 14 Economics > 1402 Applied Economics > 140207 Financial Economics |
| Subjects: | UNSPECIFIED |
| Socio-Economic Objective (SEO2008): | B Ecomonic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments |
| ID Code: | 8770 |
| Deposited By: | |
| Deposited On: | 22 Oct 2010 14:02 |
| Last Modified: | 09 Jan 2012 14:47 |
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