A Note on Arbitrage under Transaction Costs

Autoren

• Prelle
• C.
• Irle
• A.

Erscheinungsdatum

JEL Classification

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.