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

MoreLess

Year of publication:	2008-09
Authors:	Prelle, Claas ; Irle, Albrecht
Institutions:	Institut für Weltwirtschaft (IfW)
Subject:	Arbitrage \| transaction costs \| fractional Brownian motion

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Kiel Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	7 pages
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005566195