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

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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
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