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      Gain-loss pricing under ambiguity of measure

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      Author
      Pınar, M. Ç.
      Date
      2010
      Source 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
      Article
      Item Usage Stats
      132
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      82
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      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 claim
      Gain-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/11693/22471
      Published Version (Please cite this version)
      http://dx.doi.org/10.1051/cocv:2008068
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      • Department of Industrial Engineering 677
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