Implied transaction costs by Leland option pricing model: A new approach and empirical evidence

Semiparametric Option-Implied Information and Median-Variance Approach: A Game-Changer in Integrating Sustainable Practices in Portfolio Optimization

“…Observations with zero exercise prices or zero bid-ask spreads were removed, along with those with null transaction prices. Additionally, options with absolute delta values greater than 0.5 or less than 0.02 were excluded to minimize synchronicity issues [46,47].…”