Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/24845
Authors: 
Irle, Albrecht
Prelle, Claas
Year of Publication: 
2008
Series/Report no.: 
Kiel Working Paper 1450
Abstract: 
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.
Subjects: 
Arbitrage
transaction costs
fractional Brownian motion
JEL: 
G10
G12
C60
Document Type: 
Working Paper

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