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On equilibrium prices in continuous time

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Author Info

  • V. Filipe Martins-da-Rocha

    (Graduate School of Economics, Getulio Vargas Foundation, Rio de Janeiro)

  • Frank Riedel

    ()
    (Institute of Mathematical Economics, Bielefeld University)

Abstract

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

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File URL: http://www.imw.uni-bielefeld.de/papers/files/imw-wp-397.pdf
File Function: First version, 2008
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Bibliographic Info

Paper provided by Bielefeld University, Center for Mathematical Economics in its series Working Papers with number 397.

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Length: 20 pages
Date of creation: Feb 2008
Date of revision:
Handle: RePEc:bie:wpaper:397

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Web page: http://www.imw.uni-bielefeld.de/
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Related research

Keywords: general equilibrium; continuous time finance; théorie générale of stochastic processes; asset pricing; state prices;

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References

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Citations

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Cited by:
  1. Frank Riedel & Frederik Herzberg, 2013. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Working Papers 443, Bielefeld University, Center for Mathematical Economics.
  2. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
  3. Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg, 2013. "Continuous-Time Public Good Contribution under Uncertainty," Papers 1307.2849, arXiv.org.
  4. Patrick Beißner, 2013. "Brownian equilibria under Knightian uncertainty," Working Papers 447, Bielefeld University, Center for Mathematical Economics.

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