How local in time is the no-arbitrage property under capital gains taxes ?


In frictionless financial markets, no-arbitrage is a local property in time. This means, a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital gains taxes, this... [ view full abstract ]


  1. Christoph Kühn (Goethe University Frankfurt)

Topic Areas

Arbitrage Theory , Market Frictions , Transaction Costs


TU-A-BU » Arbitrage Theory (11:30 - Tuesday, 17th July, Burke Theater)

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