On equilibrium prices in continuous time

• 成果类型: Article
• 署名作者: Martins-da-Rocha, V. Filipe; Riedel, Frank
• 署名单位: University of Bielefeld; Getulio Vargas Foundation
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.01.001
• 发表日期: 2010
• 页码: 1086-1112
• 关键词: Continuous-time finance; asset pricing; State prices; general equilibrium; Theorie generale of stochastic processes

摘要

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.