A martingale characterization of equilibrium asset price processes

B-Tier
Journal: Economic Theory
Year: 2000
Volume: 15
Issue: 1
Pages: 207-213

Authors (2)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:spr:joecth:v:15:y:2000:i:1:p:207-213
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25