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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1450
- Klassifikation
-
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
- Thema
-
Arbitrage
transaction costs
fractional Brownian motion
Wertpapierhandel
Arbitragegeschäft
Transaktionskosten
Markovscher Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Irle, Albrecht
Prelle, Claas
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Irle, Albrecht
- Prelle, Claas
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2008
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