A martingale characterization of equilibrium asset price processes
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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Volume (Year): 15 (2000)
Issue (Month): 1 ()
|Note:||Received: November 4, 1997; revised version: June 10, 1998|
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