{"title":"Influence of transaction costs on foreign exchange option contracts: Intra-daily tests","authors":"Ariful Hoque, M. Manzur, Geoffrey Poitras","doi":"10.32890/ijbf2010.7.2.8413","DOIUrl":null,"url":null,"abstract":"This paper tests the impact of transaction 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.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The International Journal of Banking and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.32890/ijbf2010.7.2.8413","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 5
Abstract
This paper tests the impact of transaction 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.
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