Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
-
Series: Kiel Working Paper ; No. 1450
- Classification
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
- Subject
-
Arbitrage
transaction costs
fractional Brownian motion
Wertpapierhandel
Arbitragegeschäft
Transaktionskosten
Markovscher Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Irle, Albrecht
Prelle, Claas
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Irle, Albrecht
- Prelle, Claas
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2008
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Self-regulation and trust under endogenous transaction costs