A note on arbitrage under transaction costs

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.

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Year of publication:	2008
Authors:	Irle, Albrecht ; Prelle, Claas
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	Wertpapierhandel \| Arbitragegeschäft \| Transaktionskosten \| Markovscher Prozess \| Theorie \| Arbitrage \| transaction costs \| fractional Brownian motion

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Series:	Kiel Working Paper ; 1450
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	579109224 [GVK] hdl:10419/24845 [Handle] RePEc:zbw:ifwkwp:1450 [RePEc]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; C60 - Mathematical Methods and Programming. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010274720