We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small … transactions is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach …

also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

-image concerns (when everybody sees everyone else). A laboratory experiment is designed to identify separately these concerns, using …

-stage public good experiment with endogenous timing. We show that leading by making generous contributions is widespread and …