On characterizing and generalizing the optional m-stability property for pricing set

In the first part of this paper, we introduce the notion of switch-stability for set of probabilities and prove that it is equivalent to the notion of optional m-stability. In the second part this notion is generalized to set of processes and prove that it is linked to the former notion.

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Year of publication:	2013
Authors:	Berkaoui, Abdelkarem
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 3, p. 856-862
Publisher:	Elsevier
Subject:	Optional m-stability \| Coherent pricing measure \| Switch-stability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010616866