Pinar, M. C.2015-07-282015-07-282011-081619-697Xhttp://hdl.handle.net/11693/12051We present an approach for pricing and hedging in incomplete markets, which encompasses other recently introduced approaches for the same purpose. In a discrete time, finite space probability framework conducive to numerical computation we introduce a gain–loss ratio based restriction controlled by a loss aversion parameter, and characterize portfolio values which can be traded in discrete time to acceptability. The new risk measure specializes to a well-known risk measure (the Carr–Geman– Madan risk measure) for a specific choice of the risk aversion parameter, and to a robust version of the gain–loss measure (the Bernardo–Ledoit proposal) for a specific choice of thresholds. The result implies potentially tighter price bounds for contingent claims than the no-arbitrage price bounds. We illustrate the price bounds through numerical examples from option pricing.EnglishIncomplete MarketsAcceptabilityMartingale MeasureContingent ClaimPricingArticle10.1007/s10287-010-0122-71619-6988