Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis

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Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis

This study offers an alternative method to estimate transaction costs in stock trading via the implied transaction costs by using the Leland option pricing model. The effectiveness of this new approach is tested by using the S&P/ASX 200 index call options data. On the basis of the actual transac...

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Bibliographic Details
Main Authors:	Abdullah, Mimi Hafizah, Li, Steven
Format:	Proceeding Paper
Language:	English English
Published:	2013
Subjects:	HG Finance Q Science (General) QA Mathematics
Online Access:	http://irep.iium.edu.my/47654/ http://irep.iium.edu.my/47654/1/1098_2013.pdf http://irep.iium.edu.my/47654/8/47654.pdf

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