The Library
Browse by Warwick Author
Up a level |
Number of items: 8.
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.
Dangerfield, C. E., Whalley, A. Elizabeth, Hanley, N. and Gilligan, C. A. (2018) What a difference a stochastic process makes : epidemiological-based real options models of optimal treatment of disease. Environmental and Resource Economics, 70 (3). pp. 691-711. doi:10.1007/s10640-017-0168-x ISSN 0924-6460.
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.
Whalley, A. Elizabeth (2011) Optimal partial hedging of options with small transaction costs. Journal of Futures Markets, Vol.31 (No.9). pp. 855-897. doi:10.1002/fut.20498 ISSN 0270-7314.
Whalley, A. Elizabeth (2011) Optimal R&D investment for a risk-averse entrepreneur. Journal of Economic Dynamics and Control, Volume 35 (Number 4). pp. 413-429. doi:10.1016/j.jedc.2009.11.009 ISSN 0165-1889.
Whalley, A. Elizabeth (2011) Covered warrant valuation: a costly hedging model. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Unpublished)
Whalley, A. Elizabeth and Wilmott, P. (1997) An Asymptotic Analysis of an Optional Hedging Model for Option Pricing with Transactions Costs. Mathematical Finance, 7 (3). pp. 307-324. doi:10.1111/1467-9965.00034 ISSN 0960-1627.
Dewynne, J. N., Whalley, A. Elizabeth and Wilmott, P. (1994) Path-Dependent Options and Transaction Costs. Philosophical Transactions : Physical Sciences and Engineering, 347 (1684). pp. 517-529. ISSN 0962-8428.
This list was generated on Thu Mar 28 10:14:32 2024 GMT.