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Number of items: 8.
Journal Article
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 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.
Working or Discussion Paper
Whalley, A. Elizabeth (2011) Covered warrant valuation: a costly hedging model. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Unpublished)
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