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Journal articles
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.
https://hal-hec.archives-ouvertes.fr/hal-00485724
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Friday, May 21, 2010 - 3:43:35 PM
Last modification on : Friday, December 18, 2020 - 5:30:02 PM
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Friday, May 21, 2010 - 3:43:35 PM
Last modification on : Friday, December 18, 2020 - 5:30:02 PM