Gain-loss pricing under ambiguity of measure
| dc.citation.epage | 146 | en_US |
| dc.citation.issueNumber | 1 | en_US |
| dc.citation.spage | 132 | en_US |
| dc.citation.volumeNumber | 16 | en_US |
| dc.contributor.author | Pınar, M. Ç. | en_US |
| dc.date.accessioned | 2016-02-08T10:00:34Z | |
| dc.date.available | 2016-02-08T10:00:34Z | |
| dc.date.issued | 2010 | en_US |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description.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. | en_US |
| dc.identifier.doi | 10.1051/cocv:2008068 | en_US |
| dc.identifier.eissn | 1262-3377 | |
| dc.identifier.issn | 1292-8119 | |
| dc.identifier.uri | http://hdl.handle.net/11693/22471 | |
| dc.language.iso | English | en_US |
| dc.publisher | E D P Sciences | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1051/cocv:2008068 | en_US |
| dc.source.title | ESAIM - Control, Optimisation and Calculus of Variations | en_US |
| dc.subject | Contingent claim | en_US |
| dc.subject | Gain-loss ratio | en_US |
| dc.subject | Hedging | en_US |
| dc.subject | Martingales | en_US |
| dc.subject | Pricing | en_US |
| dc.subject | Risk measures | en_US |
| dc.subject | Stochastic programming | en_US |
| dc.subject | Asset pricing | en_US |
| dc.subject | Contingent claims | en_US |
| dc.subject | Dual representation | en_US |
| dc.subject | Hedging | en_US |
| dc.subject | Loss pricing | en_US |
| dc.subject | Loss ratio | en_US |
| dc.subject | Risk measures | en_US |
| dc.subject | Stock price | en_US |
| dc.subject | Costs | en_US |
| dc.subject | Stochastic programming | en_US |
| dc.subject | Stochastic systems | en_US |
| dc.subject | Risk assessment | en_US |
| dc.title | Gain-loss pricing under ambiguity of measure | en_US |
| dc.type | Article | en_US |
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