On equilibrium prices in continuous time
Martins-da-Rocha VF, Riedel F (2010)
JOURNAL OF ECONOMIC THEORY 145(3): 1086-1112.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
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Autor*in
Martins-da-Rocha, V. Filipe;
Riedel, FrankUniBi 
Abstract / Bemerkung
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.
Stichworte
Continuous-time finance;
State prices;
General;
Asset pricing;
Theorie generale of stochastic processes;
equilibrium
Erscheinungsjahr
2010
Zeitschriftentitel
JOURNAL OF ECONOMIC THEORY
Band
145
Ausgabe
3
Seite(n)
1086-1112
ISSN
0022-0531
Page URI
https://pub.uni-bielefeld.de/record/1795893
Zitieren
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. https://doi.org/10.1016/j.jet.2010.01.001
Martins-da-Rocha, V. Filipe, and Riedel, Frank. 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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