Influence of transaction costs on foreign exchange option contracts: intra-daily tests
Article
Hoque, Ariful, Manzur, Meher and Poitras, Geoffrey. 2010. "Influence of transaction costs on foreign exchange option contracts: intra-daily tests." International Journal of Banking and Finance. 7 (2), pp. 1-18.
Article Title | Influence of transaction costs on foreign exchange option contracts: intra-daily tests |
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ERA Journal ID | 41751 |
Article Category | Article |
Authors | Hoque, Ariful (Author), Manzur, Meher (Author) and Poitras, Geoffrey (Author) |
Journal Title | International Journal of Banking and Finance |
Journal Citation | 7 (2), pp. 1-18 |
Number of Pages | 18 |
Year | 2010 |
Place of Publication | Gold Coast, Australia |
ISSN | 1675-7227 |
Web Address (URL) | http://epublications.bond.edu.au/cgi/viewcontent.cgi?article=1086&context=ijbf |
Abstract | This paper tests the impact of transactions 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. |
Keywords | put-call parity; market efficiency; arbitrage; European options |
ANZSRC Field of Research 2020 | 350202. Finance |
380110. International economics | |
380112. Macroeconomics (incl. monetary and fiscal theory) | |
Byline Affiliations | School of Accounting, Economics and Finance |
Curtin University of Technology | |
Simon Fraser University, Canada |
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https://research.usq.edu.au/item/q00y8/influence-of-transaction-costs-on-foreign-exchange-option-contracts-intra-daily-tests
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