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.
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⟩