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

• 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

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...