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A martingale characterization of equilibrium asset price processes

Ali Lazrak 1 J. P. Décamps
1 Sauder - Sauder School of Business [British Columbia]
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.
keyword : Martingale Markovian diffusion price process Equilibrium Partial differential equation Martingale.
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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

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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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