UBC - University of British Columbia (Vancouver Campus, , 2329 West Mall, Vancouver, BC, V6T 1Z4 /
Okanagan Campus, 3333 University Way, Kelowna, BC, V1V 1V7 - Canada)
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.
https://hal-hec.archives-ouvertes.fr/hal-00485724
Contributor : Antoine Haldemann <>
Submitted on : Friday, May 21, 2010 - 3:43:35 PM Last modification on : Friday, December 18, 2020 - 5:30:02 PM
Ali Lazrak, J. P. Décamps. A martingale characterization of equilibrium asset price processes. Economic Theory, Springer Verlag, 2000, Vol.15, n°1, pp.207-213. ⟨hal-00485724⟩