Implied transaction costs by leland option pricing models: A new approach and empirical evidence

Estimation of transaction costs in stock market is an important issue for stock trading, asset pricing, andstock market regulation etc. and it is often done by combining the bid-ask spread estimate with commissions and other fees provided by market participants which can be subjective. This study ai...

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Main Authors:	Abdullah, Mimi Hafizah, Li, Steven
Format:	Conference or Workshop Item
Language:	English
Published:	2011
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/11565/ http://irep.iium.edu.my/11565/1/Darwin_conference_2011_mimi.pdf

id	iium-11565
recordtype	eprints
spelling	iium-115652012-01-04T04:43:09Z http://irep.iium.edu.my/11565/ Implied transaction costs by leland option pricing models: A new approach and empirical evidence Abdullah, Mimi Hafizah Li, Steven QA Mathematics Estimation of transaction costs in stock market is an important issue for stock trading, asset pricing, andstock market regulation etc. and it is often done by combining the bid-ask spread estimate with commissions and other fees provided by market participants which can be subjective. This study aims to offer an innovative way as an alternative to estimate the total transaction costs in stock trading via the implied transaction costs by using the Leland option pricing models. The effectiveness of this new approachis tested by using the S&P/ASX 200 index call options data.Based on the actual transaction costs on the Australian Securities Exchange (ASX) documented by previous studies and the Roll’s model,the empirical results reveal that this new approach can provide a reliable transaction costs estimate on stock trading in the ASX.Furthermore, the accuracy of the implied transaction costs and across option moneyness and maturity is investigated. 2011-07-05 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/11565/1/Darwin_conference_2011_mimi.pdf Abdullah, Mimi Hafizah and Li, Steven (2011) Implied transaction costs by leland option pricing models: A new approach and empirical evidence. In: 2011 Accounting and Finance Association of Australia and New Zealand (AFAANZ) Conference, 3-5 July 2011, Darwin, Australia. (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Abdullah, Mimi Hafizah Li, Steven Implied transaction costs by leland option pricing models: A new approach and empirical evidence
description	Estimation of transaction costs in stock market is an important issue for stock trading, asset pricing, andstock market regulation etc. and it is often done by combining the bid-ask spread estimate with commissions and other fees provided by market participants which can be subjective. This study aims to offer an innovative way as an alternative to estimate the total transaction costs in stock trading via the implied transaction costs by using the Leland option pricing models. The effectiveness of this new approachis tested by using the S&P/ASX 200 index call options data.Based on the actual transaction costs on the Australian Securities Exchange (ASX) documented by previous studies and the Roll’s model,the empirical results reveal that this new approach can provide a reliable transaction costs estimate on stock trading in the ASX.Furthermore, the accuracy of the implied transaction costs and across option moneyness and maturity is investigated.
format	Conference or Workshop Item
author	Abdullah, Mimi Hafizah Li, Steven
author_facet	Abdullah, Mimi Hafizah Li, Steven
author_sort	Abdullah, Mimi Hafizah
title	Implied transaction costs by leland option pricing models: A new approach and empirical evidence
title_short	Implied transaction costs by leland option pricing models: A new approach and empirical evidence
title_full	Implied transaction costs by leland option pricing models: A new approach and empirical evidence
title_fullStr	Implied transaction costs by leland option pricing models: A new approach and empirical evidence
title_full_unstemmed	Implied transaction costs by leland option pricing models: A new approach and empirical evidence
title_sort	implied transaction costs by leland option pricing models: a new approach and empirical evidence
publishDate	2011
url	http://irep.iium.edu.my/11565/ http://irep.iium.edu.my/11565/1/Darwin_conference_2011_mimi.pdf
first_indexed	2023-09-18T20:20:52Z
last_indexed	2023-09-18T20:20:52Z
_version_	1777408097702117376

Implied transaction costs by leland option pricing models: A new approach and empirical evidence

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