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Journal Articles Economic Theory Year : 2000

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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Dates and versions

hal-00485724 , version 1 (21-05-2010)

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  • HAL Id : hal-00485724 , version 1

Cite

Ali Lazrak, J. P. Décamps. A martingale characterization of equilibrium asset price processes. Economic Theory, 2000, Vol.15, n°1, pp.207-213. ⟨hal-00485724⟩

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