An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis
Description:
This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominat…
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Date:
May 2015
Creator:
Ren, Peter
Partner:
UNT Libraries