Trading frequency and implied transaction costs of options: evidence from the Australian index option market
This study examines the pricing performance of a few option pricing models in valuing call options on S&P/ASX 200 index with different transaction costs under various trading frequencies. The option pricing models of the original Leland model as well as its two variations are tested and contrast...
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| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/11551/1/ICBER2010_mimi.pdf http://irep.iium.edu.my/11551/ http://internationalconference.com.my/proceeding/icber2010_proceeding/PAPER_205_TradingFrequency.pdf |
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