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

Authors

  • Ariful Hoque University of Southern Queensland, Austria
  • Meher Manzur Curtin Business School, Australia
  • Geoffrey Poitras Simon Fraser University, Canada

DOI:

https://doi.org/10.32890/ijbf2010.7.2.1

Keywords:

Put-call parity, Market ef ciency, Arbitrage, European options

Abstract

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 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.

 

References

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Published

19-08-2010

Issue

Vol. 7 No. 2 (2010): International Journal of Banking and Finance (IJBF) Vol. 7, No.2, 2010

Section

Articles

How to Cite

Hoque, A., Manzur, M., & Poitras, G. (2010). Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests. International Journal of Banking and Finance, 7(2), 1-18. https://doi.org/10.32890/ijbf2010.7.2.1

Research impact

Harvested 2026-09-07
4 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijbf2010.7.2.1 OpenAlex W2129406037

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