Influence of transaction costs on foreign exchange option contracts: intra-daily tests

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Hoque, A., Manzur, Meher, Poitras, G.
Format:	Journal Article
Published:	Bond University, Queensland 2010
Online Access:	http://hdl.handle.net/20.500.11937/14769

Similar Items

Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
by: Hoque, Ariful, et al.
Published: (2010)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Efficiency of the foreign currency options market
by: Hoque, Mohammed, et al.
Published: (2008)

Modeling volatility in foreign currency option pricing
by: Hoque, M., et al.
Published: (2009)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Key issues in the foreign exchange market: Evidence from Australia and Singapore
by: Manzur, Meher, et al.
Published: (2001)

Testing intra-daily seasonality using Maximum Entropy Density
by: Chan, F., et al.
Published: (2013)

How volatile are exchange rates?
by: Wali, Muammer, et al.
Published: (2011)

Exchange Rate Volatility Before and After the Float
by: Wali, Muammer, et al.
Published: (2013)

Assessing the importance of transaction costs in option pricing: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2009)

Trading frequency and implied transaction costs of options: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

Import protection, capital flows, and real exchange rate dynamics
by: Sjaastad, L., et al.
Published: (2003)

A generalized fractal dynamics option pricing model with transaction costs
by: Angkola, Francisca
Published: (2016)

A numerical method for pricing European options with proportional transaction costs
by: Li, W., et al.
Published: (2014)

Exchange rate volatility and purchasing power parity: does euro make any difference?
by: Manzur, Meher, et al.
Published: (2010)

Does the single currency for EU resolve the exchange rate volatility and purchasing power parity puzzle?
by: Manzur, Meher, et al.
Published: (2008)

The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

Exploration on Foreign Exchange Transaction Tax: Tobin Tax and Spahn Tax
by: Lei, Heng
Published: (2013)

Nonlinear dynamics of exchange rate returns: A multi-country experience
by: Wali, Muammer, et al.
Published: (2011)

Implied transaction costs by leland option pricing models: A new approach and empirical evidence
by: Abdullah, Mimi Hafizah, et al.
Published: (2011)

Implied transaction costs by Leland option pricing model: a new approach and empirical evidence
by: Li, Steven, et al.
Published: (2012)

A numerical scheme for pricing american options with transaction costs under a jump diffusion process
by: Lesmana, D., et al.
Published: (2017)

The role and importance of the transactions costs theory in agricultural contracting area: an appraisal of selected empirical studies
by: Man, Norsida, et al.
Published: (2017)

Exchange Rate Volatility and Purchasing Power Parity: Does Euro Make Any Difference?
by: Manzur, Meher, et al.
Published: (2010)

Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
by: Lesmana, D., et al.
Published: (2015)

Related Party Transaction and Cost of Debt
by: Alhadi, A., et al.
Published: (2018)

Testing the Efficiency of the Foreign Exchange Spot Market in Iran
by: Borhan-Azad, Lida
Published: (2006)

Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates
by: Sadique, Shibley
Published: (2011)

Dynamic hedging with transaction costs
by: Than, Ei Thuzar
Published: (2011)

Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
by: Li, W., et al.
Published: (2017)

Costs on Consumers in E-Commerce Transactions
by: Lim, Julian Chu Heing
Published: (2007)

Transaction costs and fisheries co-management
by: Raja Abdullah, Nik Mustapha, et al.
Published: (1998)

Introduction
by: Manzur, Meher, et al.
Published: (2013)

Introduction
by: Manzur, Meher, et al.
Published: (2008)

Competency-driven benefits realization model for minimization of post-contract transaction costs in design-build (d&b) delivery systems
by: Raji, Abdulazeez Umar
Published: (2017)

Transaction costs, deposit requirements and first-home ownership
by: Wood, G., et al.
Published: (2006)

Transaction cost and its effects towards outsourcing
by: Mustapa, Fara Diva, et al.
Published: (2006)

Test of Weak Form Efficiency: An Empirical Study of the Malaysian Foreign Exchange Market
by: Lim, Pei Mun
Published: (2011)

Marginal intra-industry trade and adjustment costs: The Australian experience
by: Thorpe, Michael, et al.
Published: (2011)

Foreign Exchange derivatives in india
by: Kumar, Prateek
Published: (2007)

Cannot write session to /tmp/vufind_sessions/sess_ud1dq17iddd3g8lp5kgmruhdki