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.
Mots-clés : contingent claim, pricing, gain-loss ratio, hedging, martingales, stochastic programming, risk measures
@article{COCV_2010__16_1_132_0,
author = {P{\i}nar, Mustafa \c{C}.},
title = {Gain-loss pricing under ambiguity of measure},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
pages = {132--147},
publisher = {EDP-Sciences},
volume = {16},
number = {1},
year = {2010},
doi = {10.1051/cocv:2008068},
mrnumber = {2598092},
zbl = {1186.91219},
language = {en},
url = {http://www.numdam.org/articles/10.1051/cocv:2008068/}
}
TY - JOUR AU - Pınar, Mustafa Ç. TI - Gain-loss pricing under ambiguity of measure JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2010 SP - 132 EP - 147 VL - 16 IS - 1 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/cocv:2008068/ DO - 10.1051/cocv:2008068 LA - en ID - COCV_2010__16_1_132_0 ER -
%0 Journal Article %A Pınar, Mustafa Ç. %T Gain-loss pricing under ambiguity of measure %J ESAIM: Control, Optimisation and Calculus of Variations %D 2010 %P 132-147 %V 16 %N 1 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/cocv:2008068/ %R 10.1051/cocv:2008068 %G en %F COCV_2010__16_1_132_0
Pınar, Mustafa Ç. Gain-loss pricing under ambiguity of measure. ESAIM: Control, Optimisation and Calculus of Variations, Tome 16 (2010) no. 1, pp. 132-147. doi : 10.1051/cocv:2008068. http://www.numdam.org/articles/10.1051/cocv:2008068/
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