Influence of transaction costs on foreign exchange option contracts: intra-daily tests
This paper tests the impact of transaction 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 f...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Bond University, Queensland
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/14769 |