Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
957484 | Journal of Economic Theory | 2010 | 27 Pages |
Abstract
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 théorie générale 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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
V. Filipe Martins-da-Rocha, Frank Riedel,