Gain-loss pricing under ambiguity of measure
ESAIM: Control, Optimisation and Calculus of Variations, Volume 16 (2010) no. 1, pp. 132-147.

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.

DOI: 10.1051/cocv:2008068
Classification: 91B28, 90C90, 90C25
Keywords: contingent claim, pricing, gain-loss ratio, hedging, martingales, stochastic programming, risk measures
     author = {P{\i}nar, Mustafa \c{C}.},
     title = {Gain-loss pricing under ambiguity of measure},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {132--147},
     publisher = {EDP-Sciences},
     volume = {16},
     number = {1},
     year = {2010},
     doi = {10.1051/cocv:2008068},
     mrnumber = {2598092},
     zbl = {1186.91219},
     language = {en},
     url = {}
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Pınar, Mustafa Ç. Gain-loss pricing under ambiguity of measure. ESAIM: Control, Optimisation and Calculus of Variations, Volume 16 (2010) no. 1, pp. 132-147. doi : 10.1051/cocv:2008068.

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