Influence of transaction costs on foreign exchange option contracts: intra-daily tests
| dc.contributor.author | Hoque, A. | |
| dc.contributor.author | Manzur, Meher | |
| dc.contributor.author | Poitras, G. | |
| dc.date.accessioned | 2017-01-30T11:45:53Z | |
| dc.date.available | 2017-01-30T11:45:53Z | |
| dc.date.created | 2011-03-16T20:01:49Z | |
| dc.date.issued | 2010 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/14769 | |
| dc.description.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. | |
| dc.publisher | Bond University, Queensland | |
| dc.title | Influence of transaction costs on foreign exchange option contracts: intra-daily tests | |
| dc.type | Journal Article | |
| dcterms.source.volume | 7 | |
| dcterms.source.number | 1 | |
| dcterms.source.startPage | 1 | |
| dcterms.source.endPage | 18 | |
| dcterms.source.title | The International Journal of Banking and Finance | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Fulltext not available |