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

Author:

Berkaoui Abdelkarem

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference5 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. Delbaen, F., 2000. Coherent risk measures on general probability spaces, http://www.math.ethz.ch/delbaen/.

3. Delbaen, F., 2003. The structure of m-stable sets and in particular the set of risk neutral measures. Preprint (http://www.math.ethz.ch/delbaen/).

4. Conditional and dynamic convex risk measures;Detlefson;Finance and Stochastics,2005

5. Jacka, S.D., Berkaoui, A., 2008. On representing and hedging claims for coherent risk measures, http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/jacka/representfin.pdf.

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