Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky |
|
2002
|
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David |
|
2009
|
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky |
|
2007
|
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G. |
|
2002
|
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David |
|
2007
|
On the equivalence of floating- and fixed-strike Asian options. Zbl 1004.60042
Henderson, Vicky; Wojakowski, Rafał |
|
2002
|
Explicit solutions to an optimal portfolio choice problem with stochastic income. Zbl 1198.91188
Henderson, Vicky |
|
2005
|
Risk aversion and block exercise of executive stock options. Zbl 1170.91413
Grasselli, Matheus; Henderson, Vicky |
|
2009
|
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David |
|
2008
|
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino |
|
2005
|
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David |
|
2008
|
Analytical comparisons of option prices in stochastic volatility models. Zbl 1109.91025
Henderson, Vicky |
|
2005
|
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. Zbl 1118.91323
Henderson, Vicky |
|
2005
|
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David |
|
2002
|
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David |
|
2000
|
Pseudo linear pricing rule for utility indifference valuation. Zbl 1403.91342
Henderson, Vicky; Liang, Gechun |
|
2014
|
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David |
|
2013
|
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L. |
|
2017
|
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David |
|
2001
|
A multidimensional exponential utility indifference pricing model with applications to counterparty risk. Zbl 1414.91375
Henderson, Vicky; Liang, Gechun |
|
2016
|
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal |
|
2007
|
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L. |
|
2018
|
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David |
|
2011
|
Portfolios of American options under general preferences: results and counterexamples. Zbl 1314.91196
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth |
|
2014
|
Cautious stochastic choice, optimal stopping and deliberate randomization. Zbl 1520.91114
Henderson, Vicky; Hobson, David; Zeng, Matthew |
|
2023
|
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino |
|
2007
|
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David |
|
2008
|
Executive stock option exercise with full and partial information on a drift change point. Zbl 1455.91257
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph |
|
2020
|
Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155
Henderson, Vicky; Hobson, David; Zeng, Matthew |
|
2018
|
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn |
|
2002
|
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David |
|
2006
|
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
|
|
2013
|
On managerial risk-taking incentives when compensation may be hedged against. Zbl 1307.91112
Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali |
|
2014
|
Partial liquidation under reference-dependent preferences. Zbl 1433.91155
Henderson, Vicky; Muscat, Jonathan |
|
2020
|
Price comparison results and super-replication: An application to passport options. Zbl 0972.60022
Henderson, Vicky |
|
2000
|
Passport options outside the Black Scholes world. Zbl 0980.91054
Henderson, Vicky |
|
2001
|
Is corporate control effective when managers face investment timing decisions in incomplete markets? Zbl 1230.91186
Henderson, Vicky |
|
2010
|
Cautious stochastic choice, optimal stopping and deliberate randomization. Zbl 1520.91114
Henderson, Vicky; Hobson, David; Zeng, Matthew |
|
2023
|
Executive stock option exercise with full and partial information on a drift change point. Zbl 1455.91257
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph |
|
2020
|
Partial liquidation under reference-dependent preferences. Zbl 1433.91155
Henderson, Vicky; Muscat, Jonathan |
|
2020
|
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L. |
|
2018
|
Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155
Henderson, Vicky; Hobson, David; Zeng, Matthew |
|
2018
|
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L. |
|
2017
|
A multidimensional exponential utility indifference pricing model with applications to counterparty risk. Zbl 1414.91375
Henderson, Vicky; Liang, Gechun |
|
2016
|
Pseudo linear pricing rule for utility indifference valuation. Zbl 1403.91342
Henderson, Vicky; Liang, Gechun |
|
2014
|
Portfolios of American options under general preferences: results and counterexamples. Zbl 1314.91196
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth |
|
2014
|
On managerial risk-taking incentives when compensation may be hedged against. Zbl 1307.91112
Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali |
|
2014
|
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David |
|
2013
|
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
|
|
2013
|
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David |
|
2011
|
Is corporate control effective when managers face investment timing decisions in incomplete markets? Zbl 1230.91186
Henderson, Vicky |
|
2010
|
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David |
|
2009
|
Risk aversion and block exercise of executive stock options. Zbl 1170.91413
Grasselli, Matheus; Henderson, Vicky |
|
2009
|
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David |
|
2008
|
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David |
|
2008
|
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David |
|
2008
|
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky |
|
2007
|
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David |
|
2007
|
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal |
|
2007
|
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino |
|
2007
|
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David |
|
2006
|
Explicit solutions to an optimal portfolio choice problem with stochastic income. Zbl 1198.91188
Henderson, Vicky |
|
2005
|
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino |
|
2005
|
Analytical comparisons of option prices in stochastic volatility models. Zbl 1109.91025
Henderson, Vicky |
|
2005
|
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. Zbl 1118.91323
Henderson, Vicky |
|
2005
|
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky |
|
2002
|
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G. |
|
2002
|
On the equivalence of floating- and fixed-strike Asian options. Zbl 1004.60042
Henderson, Vicky; Wojakowski, Rafał |
|
2002
|
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David |
|
2002
|
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn |
|
2002
|
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David |
|
2001
|
Passport options outside the Black Scholes world. Zbl 0980.91054
Henderson, Vicky |
|
2001
|
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David |
|
2000
|
Price comparison results and super-replication: An application to passport options. Zbl 0972.60022
Henderson, Vicky |
|
2000
|