Vicky Henderson

Available identifiers

zbMath Open henderson.vickyMaRDI QIDQ457183

List of research outcomes

Publication	Date of Publication	Type
Cautious stochastic choice, optimal stopping and deliberate randomization	2023-07-03	Paper
THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK	2021-08-24	Paper
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point	2021-01-15	Paper
Partial liquidation under reference-dependent preferences	2020-03-25	Paper
Probability weighting, stop-loss and the disposition effect	2018-11-19	Paper
Optimal stopping and the sufficiency of randomized threshold strategies	2018-05-11	Paper
Randomized strategies and prospect theory in a dynamic context	2017-02-10	Paper
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk	2016-03-29	Paper
On managerial risk-taking incentives when compensation may be hedged against	2014-11-26	Paper
Pseudo linear pricing rule for utility indifference valuation	2014-09-26	Paper
PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES	2014-08-11	Paper
Risk Aversion, Indivisible Timing Options, and Gambling	2013-07-02	Paper
OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS	2011-06-16	Paper
OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE	2011-06-09	Paper
Is corporate control effective when managers face investment timing decisions in incomplete markets?	2010-06-11	Paper
Risk aversion and block exercise of executive stock options	2009-08-07	Paper
https://portal.mardi4nfdi.de/entity/Q3613975	2009-03-16	Paper
Perpetual American options in incomplete markets: the infinitely divisible case	2009-02-23	Paper
An explicit solution for an optimal stopping/optimal control problem which models an asset sale	2008-11-27	Paper
Explicit solutions to an optimal portfolio choice problem with stochastic income	2008-11-25	Paper
Valuing the option to invest in an incomplete market	2008-05-27	Paper
Bounds for in-progress floating-strike Asian options using symmetry	2008-03-31	Paper
Horizon-unbiased utility functions	2007-12-17	Paper
Is there an informationally passive benchmark for option pricing incorporating maturity?	2007-05-18	Paper
A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS	2006-09-12	Paper
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation	2006-05-02	Paper
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options	2005-10-17	Paper
ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS	2005-08-17	Paper
A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH	2005-06-22	Paper
Coupling and option price comparisons in a jump-diffusion model	2003-10-12	Paper
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION	2003-08-13	Paper
On the equivalence of floating- and fixed-strike Asian options	2003-02-06	Paper
Real options with constant relative risk aversion	2003-01-21	Paper
Passport options with stochastic volatility	2002-09-05	Paper
https://portal.mardi4nfdi.de/entity/Q2741108	2002-03-12	Paper
https://portal.mardi4nfdi.de/entity/Q2722281	2001-07-11	Paper
Local time, coupling and the passport option	2000-05-24	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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