A martingale characterization of equilibrium asset price processes - HEC Paris - École des hautes études commerciales de Paris Access content directly
Journal Articles Economic Theory Year : 2000

A martingale characterization of equilibrium asset price processes

Abstract

Bick (1987,1990) and He and Leland (1993) demonstrated that not every arbitrage-free Markovian diffusion price process is consistent with an equilibrium approach. We propose a unified framework for these results and we derive a new martingale characterization of equilibrium.
No file

Dates and versions

hal-00485724 , version 1 (21-05-2010)

Identifiers

  • HAL Id : hal-00485724 , version 1

Cite

Ali Lazrak, J. P. Décamps. A martingale characterization of equilibrium asset price processes. Economic Theory, 2000, Vol.15, n°1, pp.207-213. ⟨hal-00485724⟩

Collections

HEC
43 View
0 Download

Share

Gmail Mastodon Facebook X LinkedIn More