On Equilibrium Prices in Continuous Time
V. Filipe Martins-da-Rocha, Frank Riedel
TL;DR
This paper integrates general equilibrium theory with stochastic process theory to derive structural insights into equilibrium state prices in continuous time financial models.
Contribution
It introduces a novel framework combining equilibrium analysis with stochastic processes to understand price dynamics.
Findings
Structural results about equilibrium state prices
Insights into continuous-time financial models
Bridging equilibrium theory with stochastic processes
Abstract
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
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Taxonomy
TopicsEconomic theories and models · Monetary Policy and Economic Impact · Stochastic processes and financial applications