Influence of transaction costs on foreign exchange option contracts: intra-daily tests

Hoque, A.; Manzur, Meher; Poitras, G.

Access Status

Fulltext not available

Authors

Hoque, A.

Manzur, Meher

Poitras, G.

Date

2010

Type

Journal Article

Metadata

Show full item record

Citation

Hoque, Ariful and Manzur, Meher and Poitras, Geoff. 2010. Influence of transaction costs on foreign exchange option contracts: intra-daily tests. The International Journal of Banking and Finance. 7 (1): pp. 1-18.

Source Title

The International Journal of Banking and Finance

School

School of Economics and Finance

URI

http://hdl.handle.net/20.500.11937/14769

Collection

Curtin Research Publications

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.