Pınar, M. Ç.2016-02-082016-02-0820101292-8119http://hdl.handle.net/11693/22471Motivated 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.EnglishContingent claimGain-loss ratioHedgingMartingalesPricingRisk measuresStochastic programmingAsset pricingContingent claimsDual representationHedgingLoss pricingLoss ratioRisk measuresStock priceCostsStochastic programmingStochastic systemsRisk assessmentArticle10.1051/cocv:20080681262-3377