Gain-loss pricing under ambiguity of measure

DOI10.1051/cocv:2008068zbMath1186.91219MaRDI QIDQ5189212

Mustafa Çelebi Pinar

Publication date: 9 March 2010

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/44566

zbMATH Keywords

stochastic programming; martingales; hedging; risk measures; pricing; contingent claim; gain-loss ratio

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C15: Stochastic programming

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Gain-loss based convex risk limits in discrete-time trading, A dual representation of gain–loss hedging for European claims in discrete time, A convex duality approach for pricing contingent claims under partial information and short selling constraints

Uses Software

• GAMS
• PATH Solver

Cites Work

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