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Number of items: 23.
Journal Article
Brettschneider, Julia, Burro, Giovanni and Henderson, Vicky (2024) Make hay while the sun shines : an empirical study of maximum price, regret and trading decisions. Journal of the European Economic Association . ISSN 1542-4766. (In Press)
Henderson, Vicky, Hobson, David and Zeng, Matthew (2023) Cautious Stochastic Choice, optimal stopping and deliberate randomization. Economic Theory, 75 . pp. 887-922. doi:10.1007/s00199-022-01428-2 ISSN 0938-2259.
Henderson, Vicky, Sun, Jia and Whalley, A. Elizabeth (2021) The value of being lucky : option backdating and non-diversifiable risk. International Journal of Theoretical and Applied Finance, 24 (4). 2150023. doi:10.1142/S0219024921500230 ISSN 0219-0249.
Brettschneider, Julia, Burro, Giovanni and Henderson, Vicky (2021) Wide framing disposition effect : an empirical study. Journal of Economic Behavior and Organization, 185 . pp. 330-347. doi:10.1016/j.jebo.2021.03.003 ISSN 0167-2681.
Henderson, Vicky, Kladivko, K., Monoyios, M. and Reisinger, C. (2020) Executive stock option exercise with full and partial information on a drift change point. SIAM Journal on Financial Mathematics, 11 (4). pp. 1007-1062. doi:10.1137/18M1222909 ISSN 1945-497X .
Henderson, Vicky and Muscat, Jonathan (2019) Partial liquidation under reference-dependent preferences. Finance and Stochastics, 24 . pp. 335-357. doi:10.1007/s00780-020-00421-8 ISSN 0949-2984.
Henderson, Vicky, Hobson, David G. and Tse, Alex S. L. (2018) Probability weighting, stop-loss and the disposition effect. Journal of Economic Theory, 178 . pp. 360-397. doi:10.1016/j.jet.2018.10.002 ISSN 0022-0531.
Hobson, David G., Henderson, Vicky and Zeng, Matthew (2018) Optimal stopping and the sufficiency of randomised threshold strategies. Electronic Communications in Probability, 23 (30). pp. 1-11. doi:10.1214/18-ECP125 ISSN 1083-589X.
Henderson, Vicky, Hobson, David G. and Tse, Alex Sing-Lam (2017) Randomized strategies and prospect theory in a dynamic context. Journal of Economic Theory, 168 . pp. 287-300. doi:10.1016/j.jet.2017.01.003 ISSN 0022-0531.
Henderson, Vicky and Liang, Gechun (2016) A multidimensional exponential utility indifference pricing model with applications to counterparty risk. SIAM Journal on Control and Optimization, 54 (2). pp. 690-717. doi:10.1137/15M1040293 ISSN 0363-0129.
CvitaniΔ, JakΕ‘a, Henderson, Vicky and Lazrak, Ali (2014) On managerial risk-taking incentives when compensation may be hedged against. Mathematics and Financial Economics, Volume 8 (Number 4). pp. 453-471. doi:10.1007/s11579-014-0123-3 ISSN 1862-9679.
Henderson, Vicky, Sun, Jia and Whalley, A. Elizabeth (2014) Portfolios of American options under general preferences : results and counterexamples. Mathematical Finance, Volume 24 (Number 3). pp. 533-566. doi:10.1111/mafi.12008 ISSN 0960-1627.
Henderson, Vicky and Liang, Gechun (2014) Pseudo linear pricing rule for utility indifference valuation. Finance and Stochastics, 18 (3). pp. 593-615. doi:10.1007/s00780-014-0235-x ISSN 0949-2984.
Henderson, Vicky and Hobson, David (David G.) (2013) Risk aversion, indivisible timing options and gambling. Operations Research, Volume 61 (Number 1). p. 126. doi:10.1287/opre.1120.1131 ISSN 0030-364X.
Henderson, Vicky (2012) Prospect theory, liquidation, and the disposition effect. Management Science, Vol.58 (No.2). pp. 445-460. doi:10.1287/mnsc.1110.1468 ISSN 0025-1909.
Henderson, Vicky (2010) Is corporate control effective when managers face investment timing decisions in incomplete markets? Journal of Economic Dynamics and Control, Vol.34 (No.6). pp. 1062-1076. doi:10.1016/j.jedc.2010.02.009 ISSN 0165-1889.
Henderson, Vicky and Hobson, David (David G.) (2010) Optimal liquidation of derivative portfolios. Mathematical Finance, Volume 21 (Number 3). pp. 365-382. doi:10.1111/j.1467-9965.2010.00455.x ISSN 0960-1627.
Grasselli, Matheus and Henderson, Vicky (2009) Risk aversion and block exercise of executive stock options. Journal of Economic Dynamics and Control, Vol.33 (No.1). pp. 109-127. doi:10.1016/j.jedc.2008.05.005 ISSN 0165-1889.
Evans, J. (Jonathan), Henderson, Vicky and Hobson, David (David G.) (2008) Optimal timing for an indivisible asset sale. Mathematical Finance, Vol.18 (No.4, Sp. Iss. SI). pp. 545-567. doi:10.1111/j.1467-9965.2008.00347.x ISSN 0960-1627.
Henderson, Vicky and Hobson, David (David G.) (2008) An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Annals of Applied Probability, Vol.18 (No.5). pp. 1681-1705. doi:10.1214/07-AAP511 ISSN 1050-5164.
Henderson, Vicky and Hobson, David (David G.) (2008) Perpetual American options in incomplete markets : the infinitely divisible case. Quantitive Finance, Vol.8 (No.5). pp. 461-469. doi:10.1080/14697680701400986 ISSN 1469-7688.
Book Item
Henderson, Vicky and Hobson, David (David G.) (2009) Utility indifference pricing : an overview. In: Carmona, R. (Rene), (ed.) Indifference Pricing : Theory and Applications. Princeton : Princeton University Press, pp. 44-74. ISBN 9781400833115
Conference Item
Henderson, Vicky and Hobson, David (David G.) (2007) Horizon-unbiased utility functions. In: 3rd Cornell, Columbia, Carnegie-Mellon, Princeton Conference on Mathematical Finance (CCCP), New York, NY, 28-29 Apr 2006. Published in: Stochastic Processes and their Applications, Vol.117 (No.11). pp. 1621-1641. doi:10.1016/j.spa.2007.03.013 ISSN 0304-4149.
This list was generated on Wed Apr 24 22:32:18 2024 BST.