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A martingale characterization of equilibrium asset price processes

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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Submitted on : Friday, May 21, 2010 - 3:43:35 PM
Last modification on : Friday, December 18, 2020 - 5:30:02 PM


  • HAL Id : hal-00485724, version 1



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⟩



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