On equilibrium prices in continuous time

V. Filipe Martins-da-Rocha and Frank Riedel

Journal of Economic Theory, 2010, vol. 145, issue 3, 1086-1112

Abstract: State prices are the fundamental building block for dynamic asset pricing models. We provide here a general continuous-time setup that allows to derive non-trivial structural properties for state-prices from economic fundamentals. To this end, we combine general equilibrium theory and théorie générale of stochastic processes to characterize state prices that lead to continuous price systems on the consumption set. We also show that equilibria with such state prices exist.

Keywords: Continuous-time; finance; Asset; pricing; State; prices; General; equilibrium; Theorie; generale; of; stochastic; processes (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: On equilibrium prices in continuous time (2011)
Working Paper: On Equilibrium Prices in Continuous Time (2008)
Working Paper: On equilibrium prices in continuous time (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:145:y:2010:i:3:p:1086-1112

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