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Working Paper

A Note on Arbitrage under Transaction Costs

Kiel Working Papers, 1450
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Authors

  • Prelle
  • C.
  • Irle
  • A.

Publication Date

JEL Classification

G10 G12 C60

Key Words

Arbitrage

fractional Brownian motion

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.

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