Skip to content
Accessible Unlicensed Requires Authentication Published by De Gruyter January 8, 2003

A Simple Linear Programming Approach to Gain, Loss and Asset Pricing

Iñaki Rodríguez Longarela

Abstract

Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds. In this note we provide a simple procedure for their computation which only entails solving a linear optimization program.

Published Online: 2003-01-08

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston