Gain-loss pricing under ambiguity of measure

Date
2010
Authors
Pınar, M. Ç.
Advisor
Instructor
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
Journal Title
Journal ISSN
Volume Title
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.

Course
Other identifiers
Book Title
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
Citation
Published Version (Please cite this version)