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 |
| _version_ | 1848748711846346752 |
|---|---|
| author | Hoque, A. Manzur, Meher Poitras, G. |
| author_facet | Hoque, A. Manzur, Meher Poitras, G. |
| author_sort | Hoque, A. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 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. |
| first_indexed | 2025-11-14T07:09:23Z |
| format | Journal Article |
| id | curtin-20.500.11937-14769 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:09:23Z |
| publishDate | 2010 |
| publisher | Bond University, Queensland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-147692017-01-30T11:45:53Z Influence of transaction costs on foreign exchange option contracts: intra-daily tests Hoque, A. Manzur, Meher Poitras, G. 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 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. 2010 Journal Article http://hdl.handle.net/20.500.11937/14769 Bond University, Queensland restricted |
| spellingShingle | Hoque, A. Manzur, Meher Poitras, G. Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| title | Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| title_full | Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| title_fullStr | Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| title_full_unstemmed | Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| title_short | Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| title_sort | influence of transaction costs on foreign exchange option contracts: intra-daily tests |
| url | http://hdl.handle.net/20.500.11937/14769 |