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A Martingale Characterization of Equilibrium Asset Price Processes

J. P. Décamps and A. Lazrak
Economic Theory
Vol. 15, No. 1 (Jan., 2000), pp. 207-213
Published by: Springer
Stable URL: http://www.jstor.org/stable/25055261
Page Count: 7
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A Martingale Characterization of Equilibrium Asset Price Processes
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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.

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