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) |
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Refereed: | Yes |
Item Status: | Live Archive |
Additional Information: | Awaiting paper from author. |
Faculty/School / Institute/Centre: | Historic - Faculty of Business - School of Accounting, Economics and Finance (1 Apr 2007 - 31 Dec 2010) |
Faculty/School / Institute/Centre: | Historic - Faculty of Business - School of Accounting, Economics and Finance (1 Apr 2007 - 31 Dec 2010) |
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 (2008): | 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 Objectives (2008): | 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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