On the Consistency of the Black-Scholes Model with a General Equilibrium Framework
构建一个只有最终消费的简单经济，内生布莱克-舒尔斯模型假设的价格随机行为，证明特定偏好和信念对均衡存在的充分必要性，并推广到连续消费框架嵌入默顿比例股息模型。
We construct a simple economy with consumption only at the final date in which we “endogenize” the stochastic behavior of prices assumed in the Black-Scholes model. Certain preferences (constant proportional risk aversion) and beliefs are shown to be sufficient and necessary, in certain respects, for the existence of such an equilibrium. The analysis is then generalized to a continuous-consumption framework, in which we embed the Merton proportional dividend model.