most citedProspective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

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q-fin.PM2018

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

Christoph Kühn

In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-perio…