Put-call parity, transactions costs and PHLX currency options: intra-daily tests
Paper
Paper/Presentation Title | Put-call parity, transactions costs and PHLX currency options: intra-daily tests |
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Presentation Type | Paper |
Authors | Hoque, Ariful (Author), Manzur, Meher (Author) and Poitras, Geoffrey (Author) |
Journal or Proceedings Title | Proceedings of the 59th Midwest Finance Association Annual Conference (MFA 2010) |
Number of Pages | 25 |
Year | 2010 |
Place of Publication | Kearney, NE. USA |
Web Address (URL) of Paper | http://www.sfu.ca/~poitras/MFA_$$$.pdf |
Conference/Event | MFA 2010: 59th Midwest Finance Association Annual Conference |
Event Details | MFA 2010: 59th Midwest Finance Association Annual Conference Event Date 24 to end of 27 Feb 2010 Event Location Las Vegas, United States |
Abstract | This paper tests the impact of transactions cost specification on deviations from lower boundary and |
Keywords | put-call parity; market efficiency; arbitrage; European options |
ANZSRC Field of Research 2020 | 350202. Finance |
350208. Investment and risk management | |
380107. Financial economics | |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | School of Accounting, Economics and Finance |
Curtin University of Technology | |
Simon Fraser University, Canada |
https://research.usq.edu.au/item/q00z1/put-call-parity-transactions-costs-and-phlx-currency-options-intra-daily-tests
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