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

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...

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Main Authors: Hoque, Ariful, Manzur, Meher, Poitras, Geoffrey
Format: Article
Language:English
Published: Universiti Utara Malaysia 2010
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/25051/1/IJBF%207%202%202010%201%2018.pdf
http://repo.uum.edu.my/25051/
http://ijbf.uum.edu.my/index.php/previous-issues/140-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-2-august-2010
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Institution: Universiti Utara Malaysia
Language: English
id my.uum.repo.25051
record_format eprints
spelling my.uum.repo.250512018-10-25T02:20:29Z http://repo.uum.edu.my/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 http://repo.uum.edu.my/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
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Hoque, Ariful
Manzur, Meher
Poitras, Geoffrey
Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
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.
format Article
author Hoque, Ariful
Manzur, Meher
Poitras, Geoffrey
author_facet Hoque, Ariful
Manzur, Meher
Poitras, Geoffrey
author_sort Hoque, Ariful
title 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_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_sort influence of transaction costs on foreign exchange option contracts: intra-daily tests
publisher Universiti Utara Malaysia
publishDate 2010
url http://repo.uum.edu.my/25051/1/IJBF%207%202%202010%201%2018.pdf
http://repo.uum.edu.my/25051/
http://ijbf.uum.edu.my/index.php/previous-issues/140-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-2-august-2010
_version_ 1644284212328529920

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