Leoni, Patrick Lucien (contributor) - 2008
this event. The hedging can only be achieved by
purchasing assets paying ofi positive dividends in this event, thus current … deflne
an "¡crash (for " > 0) to be an event where the return of every traded asset
paying ofi positive dividends in this … event is below ". In this setting, we
show that for commonly observed levels of endowment drops, the higher the
level of …