Kiel Working Papers, Kiel Institute for World Economics
No 1450:
A note on Arbitrage under Transaction Costs
Claas Prelle and 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
Keywords: Arbitrage, transaction costs, fractional Brownian motion; (follow links to similar papers)
JEL-Codes: G10,; G12,; C60; (follow links to similar papers)
7 pages, September 2008
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Downloadable files:
KWP_1450.pdf 
Download Statistics
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design Joakim Ekebom
