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On equilibrium prices in continuous time
Authors:V Filipe Martins-da-Rocha  Frank Riedel
Institution:a Graduate School of Economics, Getulio Vargas Foundation, Praia de Botafogo 190, 22250-900 Rio de Janeiro, Brazil
b Institute of Mathematical Economics, Bielefeld University, Postfach 100131, 33501 Bielefeld, Germany
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.
Keywords:D51  D91  G10  G12
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