Resource title

A note on arbitrage under transaction costs

Resource image

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Resource description

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.

Resource author

Albrecht Irle, Claas Prelle

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24845

Resource license

Adapt according to the presented license agreement and reference the original author.