Article ID Journal Published Year Pages File Type
957484 Journal of Economic Theory 2010 27 Pages PDF
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
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