Put-call parity, transactions costs and PHLX currency options: intra-daily tests

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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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.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: Awaiting paper from author.
Depositing User: Dr Ariful Hoque
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 22 Oct 2010 04:02
Last Modified: 03 Jul 2013 00:03
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
Socio-Economic Objective (SEO2008): B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
URI: http://eprints.usq.edu.au/id/eprint/8770

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