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

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  • Berkaoui, Abdelkarem

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.

Suggested Citation

  • Berkaoui, Abdelkarem, 2013. "On characterizing and generalizing the optional m-stability property for pricing set," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 856-862.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:3:p:856-862
    DOI: 10.1016/j.spl.2012.12.007
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    References listed on IDEAS

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    1. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and dynamic convex risk measures," Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
    2. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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