Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
This paper tests the impact of transaction cost specication 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 fun...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2010
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| Online Access: | https://repo.uum.edu.my/id/eprint/25051/1/IJBF%207%202%202010%201%2018.pdf |
| _version_ | 1825805213240393728 |
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| author | Hoque, Ariful Manzur, Meher Poitras, Geoffrey |
| author_facet | Hoque, Ariful Manzur, Meher Poitras, Geoffrey |
| author_sort | Hoque, Ariful |
| collection | UUM |
| description | This paper tests the impact of transaction cost specication 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 | 2024-07-04T06:28:37Z |
| format | Article |
| id | uum-25051 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:37Z |
| publishDate | 2010 |
| publisher | Universiti Utara Malaysia |
| record_format | eprints |
| spelling | uum-250512018-10-25T02:20:29Z https://repo.uum.edu.my/id/eprint/25051/ Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests Hoque, Ariful Manzur, Meher Poitras, Geoffrey HG Finance This paper tests the impact of transaction cost specication 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. Universiti Utara Malaysia 2010 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25051/1/IJBF%207%202%202010%201%2018.pdf Hoque, Ariful and Manzur, Meher and Poitras, Geoffrey (2010) Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests. The International Journal of Banking and Finance, 7 (2). pp. 1-18. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/140-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-2-august-2010 |
| spellingShingle | HG Finance Hoque, Ariful Manzur, Meher Poitras, Geoffrey 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 |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25051/1/IJBF%207%202%202010%201%2018.pdf |
| work_keys_str_mv | AT hoqueariful influenceoftransactioncostsonforeignexchangeoptioncontractsintradailytests AT manzurmeher influenceoftransactioncostsonforeignexchangeoptioncontractsintradailytests AT poitrasgeoffrey influenceoftransactioncostsonforeignexchangeoptioncontractsintradailytests |