Transaction Costs

Moneyness of the Option

ITM (K = 8)

ATM (K = 10)

OTM (K = 12)

C₀ = C₁ = C₂ = 0

3.0011

1.1934

0.4046

C₀ = 1%, C₁ = C₂ = 0.06%

3.0011

1.1934

0.4046

C₀ = 1%, C₁ = 0.06%, C₂ = 0%

3.0011

1.1934

0.4046

C₀ = 1%, C₁ = 0%, C₂ = 0.06%

3.0011

1.1934

0.4045

C₀ = 1%, C₁ = C₂ = 0%

3.0011

1.1934

0.4045

C₀ = 5%, C₁ = C₂ = 0.3%

3.0011

1.1932

0.4040

C₀ = 10%, C₁ = C₂ = 0.6%

3.0011

1.1930

0.4034