A note on arbitrage under transaction costs

Albrecht Irle and Claas Prelle

No 1450, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

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.

Keywords: Arbitrage; transaction costs; fractional Brownian motion (search for similar items in EconPapers)
JEL-codes: C60 G10 G12 (search for similar items in EconPapers)
Date: 2008
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