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.
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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