# Gain-loss pricing under ambiguity of measure

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

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

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topPınar, 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 -

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