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Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests


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

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: Put-call parity; Market efficiency; Arbitrage; European options
Subjects: H Social Sciences > HG Finance
Divisions: School of Education & Modern Languages
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 25 Oct 2018 02:20
Last Modified: 25 Oct 2018 02:20
URI: http://repo.uum.edu.my/id/eprint/25051

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