A martingale characterization of equilibrium asset price processes

A. Lazrak and Jean-Paul Décamps
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A. Lazrak: UniversitÊ d'Evry, Boulevard des Coquibus, F-91025 Evry Cedex, FRANCE

Economic Theory, 2000, vol. 15, issue 1, 207-213

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.

Keywords: Markovian diffusion price process; Equilibrium; Partial differential equation; Martingale. (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 1999-11-22
Note: Received: November 4, 1997; revised version: June 10, 1998
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Citations: View citations in EconPapers (3)

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