Put-call parity, transactions costs and PHLX currency options: intra-daily tests

Paper

Hoque, Ariful, Manzur, Meher and Poitras, Geoffrey. 2010. "Put-call parity, transactions costs and PHLX currency options: intra-daily tests." MFA 2010: 59th Midwest Finance Association Annual Conference. Las Vegas, United States 24 - 27 Feb 2010 Kearney, NE. USA.
Paper/Presentation Title

Put-call parity, transactions costs and PHLX currency options: intra-daily tests

Presentation TypePaper
AuthorsHoque, Ariful (Author), Manzur, Meher (Author) and Poitras, Geoffrey (Author)
Journal or Proceedings TitleProceedings of the 59th Midwest Finance Association Annual Conference (MFA 2010)
Number of Pages25
Year2010
Place of PublicationKearney, NE. USA
Web Address (URL) of Paperhttp://www.sfu.ca/~poitras/MFA_$$$.pdf
Conference/EventMFA 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
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.

Keywordsput-call parity; market efficiency; arbitrage; European options
ANZSRC Field of Research 2020350202. Finance
350208. Investment and risk management
380107. Financial economics
Public Notes

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Byline AffiliationsSchool of Accounting, Economics and Finance
Curtin University of Technology
Simon Fraser University, Canada
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