Gain-loss pricing under ambiguity of measure

Mustafa Ç. Pınar

ESAIM: Control, Optimisation and Calculus of Variations (2010)

  • Volume: 16, Issue: 1, page 132-147
  • ISSN: 1292-8119

Abstract

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Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under ambiguity of measure, and illustrate its use.

How to cite

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Pınar, Mustafa Ç.. "Gain-loss pricing under ambiguity of measure." ESAIM: Control, Optimisation and Calculus of Variations 16.1 (2010): 132-147. <http://eudml.org/doc/250753>.

@article{Pınar2010,
abstract = { Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under ambiguity of measure, and illustrate its use. },
author = {Pınar, Mustafa Ç.},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
keywords = {Contingent claim; pricing; gain-loss ratio; hedging; martingales; stochastic programming; risk measures; contingent claim},
language = {eng},
month = {1},
number = {1},
pages = {132-147},
publisher = {EDP Sciences},
title = {Gain-loss pricing under ambiguity of measure},
url = {http://eudml.org/doc/250753},
volume = {16},
year = {2010},
}

TY - JOUR
AU - Pınar, Mustafa Ç.
TI - Gain-loss pricing under ambiguity of measure
JO - ESAIM: Control, Optimisation and Calculus of Variations
DA - 2010/1//
PB - EDP Sciences
VL - 16
IS - 1
SP - 132
EP - 147
AB - Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under ambiguity of measure, and illustrate its use.
LA - eng
KW - Contingent claim; pricing; gain-loss ratio; hedging; martingales; stochastic programming; risk measures; contingent claim
UR - http://eudml.org/doc/250753
ER -

References

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