A note on arbitrage under transaction costs

by Albrecht Irle and Claas Prelle

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio. -- Arbitrage ; transaction costs ; fractional Brownian motion

MoreLess

Year of publication:	Sept. 2008
Other Persons:	Irle, Albrecht (contributor) ; Prelle, Claas (contributor)
Publisher:	Kiel : Kiel Inst. for the World Economy
Subject:	Wertpapierhandel \| Securities trading \| Arbitrage \| Transaktionskosten \| Transaction costs \| Markov-Kette \| Markov chain \| Theorie \| Theory

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

I need help

Extent:	Online-Ressource (7 S.)
Series:	Kiel working paper. - Kiel : [Verlag nicht ermittelbar], ISSN 1862-1155, ZDB-ID 2107612-1. - Vol. 1450
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/24845 [Handle]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; C60 - Mathematical Methods and Programming. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003757575