Modelling the effect of transactions costs on options-related trading frequency

dc.creator	Chartier, Zac
dc.creator	Mayne, Justin
dc.date.accessioned	2014-02-26T19:33:06Z
dc.date.available	2014-02-26T19:33:06Z
dc.date.issued	2013
dc.identifier	http://library2.smu.ca/bitstream/handle/01/25409/asb_proceedings_2013.pdf#page=202
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25714
dc.description.abstract	In this paper we examine the relationship between transactions costs and options-related trading fre-quency. We develop a model which enables us to examine option hedging behaviour through any set of asset price and time paths, including large price changes in small time intervals, within a Black-Scholes numerical solution set. This approach allows for a type of completeness that is not possible with a binomial tree or Monte Carlo simulation. Our model suggests a linear relationship between transactions costs and trading frequency.	en_CA
dc.description.provenance	Submitted by Trish Grelot (trish.grelot@smu.ca) on 2014-02-26T19:33:06Z No. of bitstreams: 0	en
dc.description.provenance	Made available in DSpace on 2014-02-26T19:33:06Z (GMT). No. of bitstreams: 0 Previous issue date: 2013	en
dc.language.iso	en	en_CA
dc.publisher	Atlantic Schools of Business	en_CA
dc.subject.lcsh	Options (Finance)
dc.title	Modelling the effect of transactions costs on options-related trading frequency	en_CA
dc.type	Text	en_CA
dcterms.bibliographicCitation	Proceedings of the 43rd Atlantic Schools of Business conference, St. Francis Xavier University, 2013, pp 202-212