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exposita notes : A martingale characterization of equilibrium asset price processes

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Author Info
A. Lazrak (UniversitÊ d'Evry, Boulevard des Coquibus, F-91025 Evry Cedex, FRANCE)
J.P. DÊcamps () (GREMAQ, UniversitÊ de Toulouse I, 21 AllÊe de Brienne, F-31000 Toulouse, FRANCE)
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.

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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 15 (2000)
Issue (Month): 1 ()
Pages: 207-213
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Handle: RePEc:spr:joecth:v:15:y:2000:i:1:p:207-213

Note: Received: November 4, 1997; revised version: June 10, 1998
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Related research
Keywords: Markovian diffusion price process; Equilibrium; Partial differential equation; Martingale.;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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This page was last updated on 2009-12-22.

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