Gain-loss pricing under ambiguity of measure
Author
Pınar, M. Ç.
Date
2010Source Title
ESAIM - Control, Optimisation and Calculus of Variations
Print ISSN
1292-8119
Electronic ISSN
1262-3377
Publisher
E D P Sciences
Volume
16
Issue
1
Pages
132 - 146
Language
English
Type
ArticleItem Usage Stats
132
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views
82
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downloads
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.
Keywords
Contingent claimGain-loss ratio
Hedging
Martingales
Pricing
Risk measures
Stochastic programming
Asset pricing
Contingent claims
Dual representation
Hedging
Loss pricing
Loss ratio
Risk measures
Stock price
Costs
Stochastic programming
Stochastic systems
Risk assessment
Permalink
http://hdl.handle.net/11693/22471Published Version (Please cite this version)
http://dx.doi.org/10.1051/cocv:2008068Collections
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