A martingale characterization of equilibrium asset price processes

Ali Lazrak and Jean-Paul Décamps
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Ali Lazrak: Sauder - Sauder School of Business [British Columbia] - UBC - University of British Columbia [Canada]

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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.; Martingale (search for similar items in EconPapers)
Date: 2000-01-03
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Citations: View citations in EconPapers (7)

Published in Economic Theory, 2000, Vol.15, n°1, pp.207-213

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Journal Article: A martingale characterization of equilibrium asset price processes (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00485724

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