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. -- Arbitrage ; transaction costs ; fractional Brownian motion …

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 …

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …

We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by … Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained … straightforward implementation of a least-squares calibration algorithm on the no arbitrage domain, which yields an excellent fit on …