Transaction Costs Rates

Moneyness of the Option

ITM (K = 8)

ATM (K = 10)

OTM (K = 12)

C₀ = C₁ = C₂ = 0

3.0011

1.1934

0.4047

C₀ = 1%, C₁ = 5%, C₂ = 0%

3.0003

1.1796

0.3887

C₀ = 1%, C₁ = 0%, C₂ = 5%

3.0003

1.1787

0.3869

C₀ = 1%, C₁ = C₂ = 0%

3.0003

1.1780

0.3863

C₀ = 1%, C₁ = 5%, C₂ = 3%

3.0003

1.1796

0.3887

C₀ = 1%, C₁ = C₂ = 5%

3.0003

1.1794

0.3889

C₀ = 1%, C₁ = 3%, C₂ = 5%

3.0003

1.1790

0.3878

C₀ = 5%, C₁ = 5%, C₂ = 3%

3.0003

1.1319

0.3205

C₀ = 5%, C₁ = 5%, C₂ = 5%

3.0003

1.1316

0.3201

C₀ = 5%, C₁ = 3%, C₂ = 5%

3.0003

1.1284

0.3145

C₀ = 10%, C₁ = 5%, C₂ = 3%

3.0002

1.0996

0.2288

C₀ = 10%, C₁ = 5%, C₂ = 5%

3.0002

1.0993

0.2286

C₀ = 10%, C₁ = 3%, C₂ = 5%

3.0002

1.0943

0.2148