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

Abdelkarem Berkaoui

Statistics & Probability Letters, 2013, vol. 83, issue 3, 856-862

Abstract: 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.

Keywords: Optional m-stability; Coherent pricing measure; Switch-stability (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:3:p:856-862

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DOI: 10.1016/j.spl.2012.12.007

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