Discussion or working paper
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A Note on Arbitrage under Transaction Costs
AbstractGuasoni (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.
KeywordsArbitrage, transaction costs, fractional Brownian motion
JEL classificationG10, G12, C60