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A note on Arbitrage under Transaction Costs

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Author Info
Claas Prelle
Albrecht Irle
Abstract

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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File URL: http://www.ifw-members.ifw-kiel.de/publications/a-note-on-arbitrage-under-transaction-costs/KWP_1450.pdf
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Publisher Info
Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1450.

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Length: 7 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:kie:kieliw:1450

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Related research
Keywords: Arbitrage; transaction costs; fractional Brownian motion;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General

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This page was last updated on 2009-12-18.

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