Motivated by the observationthat 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 situationreferred 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 ofasset pricing under ambiguity of measure, and illustrate its use.
