A martingale characterization of equilibrium asset price processes

Authors
Decamps, JP Lazrak, A
Citation
Jp. Decamps et A. Lazrak, A martingale characterization of equilibrium asset price processes, ECON THEORY, 15(1), 2000, pp. 207-213
Citations number
12
Categorie Soggetti
Economics
Journal title
ECONOMIC THEORY
ISSN journal
09382259 → ACNP
Volume
15
Issue
1
Year of publication
2000
Pages
207 - 213
Database
ISI
SICI code
0938-2259(200001)15:1<207:AMCOEA>2.0.ZU;2-B
Abstract
Bick (1987,1990) and He and Leland (1993) demonstrated that not every arbit rage-free Markovian diffusion price process is consistent with an equilibri um approach. We propose a unified framework for these results and we derive a new martingale characterization of equilibrium. JEL Classification Numbe rs: G10, G11.