On equilibrium prices in continuous time

Martins-da-Rocha VF, Riedel F (2010)
JOURNAL OF ECONOMIC THEORY 145(3): 1086-1112.

Journal Article | Published | English

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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 theorie generale 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. (C) 2010 Elsevier Inc. All rights reserved.
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Martins-da-Rocha VF, Riedel F. On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY. 2010;145(3):1086-1112.
Martins-da-Rocha, V. F., & Riedel, F. (2010). On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY, 145(3), 1086-1112.
Martins-da-Rocha, V. F., and Riedel, F. (2010). On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY 145, 1086-1112.
Martins-da-Rocha, V.F., & Riedel, F., 2010. On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY, 145(3), p 1086-1112.
V.F. Martins-da-Rocha and F. Riedel, “On equilibrium prices in continuous time”, JOURNAL OF ECONOMIC THEORY, vol. 145, 2010, pp. 1086-1112.
Martins-da-Rocha, V.F., Riedel, F.: On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY. 145, 1086-1112 (2010).
Martins-da-Rocha, V. Filipe, and Riedel, Frank. “On equilibrium prices in continuous time”. JOURNAL OF ECONOMIC THEORY 145.3 (2010): 1086-1112.
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