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Henderson, Vicky

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Author ID: henderson.vicky Recent zbMATH articles by "Henderson, Vicky"
Published as: Henderson, Vicky
Documents Indexed: 36 Publications since 2000, including 1 Book

Publications by Year

Citations contained in zbMATH Open

32 Publications have been cited 429 times in 288 Documents Cited by Year
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
79
2002
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David
48
2009
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky
38
2007
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G.
35
2002
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David
24
2007
On the equivalence of floating- and fixed-strike Asian options. Zbl 1004.60042
Henderson, Vicky; Wojakowski, Rafał
22
2002
Risk aversion and block exercise of executive stock options. Zbl 1170.91413
Grasselli, Matheus; Henderson, Vicky
21
2009
Explicit solutions to an optimal portfolio choice problem with stochastic income. Zbl 1198.91188
Henderson, Vicky
21
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
14
2005
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David
13
2008
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. Zbl 1118.91323
Henderson, Vicky
13
2005
Analytical comparisons of option prices in stochastic volatility models. Zbl 1109.91025
Henderson, Vicky
13
2005
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David
12
2008
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
11
2002
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David
11
2000
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
8
2001
Pseudo linear pricing rule for utility indifference valuation. Zbl 1403.91342
Henderson, Vicky; Liang, Gechun
7
2014
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
6
2017
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David
6
2013
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David
5
2011
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal
4
2007
A multidimensional exponential utility indifference pricing model with applications to counterparty risk. Zbl 1414.91375
Henderson, Vicky; Liang, Gechun
3
2016
Portfolios of American options under general preferences: results and counterexamples. Zbl 1314.91196
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth
3
2014
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David
2
2008
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David
2
2006
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn
2
2002
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
1
2018
On managerial risk-taking incentives when compensation may be hedged against. Zbl 1307.91112
Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali
1
2014
Is corporate control effective when managers face investment timing decisions in incomplete markets? Zbl 1230.91186
Henderson, Vicky
1
2010
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino
1
2007
Passport options outside the Black Scholes world. Zbl 0980.91054
Henderson, Vicky
1
2001
Price comparison results and super-replication: An application to passport options. Zbl 0972.60022
Henderson, Vicky
1
2000
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
1
2018
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
6
2017
A multidimensional exponential utility indifference pricing model with applications to counterparty risk. Zbl 1414.91375
Henderson, Vicky; Liang, Gechun
3
2016
Pseudo linear pricing rule for utility indifference valuation. Zbl 1403.91342
Henderson, Vicky; Liang, Gechun
7
2014
Portfolios of American options under general preferences: results and counterexamples. Zbl 1314.91196
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth
3
2014
On managerial risk-taking incentives when compensation may be hedged against. Zbl 1307.91112
Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali
1
2014
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David
6
2013
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David
5
2011
Is corporate control effective when managers face investment timing decisions in incomplete markets? Zbl 1230.91186
Henderson, Vicky
1
2010
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David
48
2009
Risk aversion and block exercise of executive stock options. Zbl 1170.91413
Grasselli, Matheus; Henderson, Vicky
21
2009
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David
13
2008
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David
12
2008
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David
2
2008
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky
38
2007
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David
24
2007
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal
4
2007
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino
1
2007
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David
2
2006
Explicit solutions to an optimal portfolio choice problem with stochastic income. Zbl 1198.91188
Henderson, Vicky
21
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
14
2005
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. Zbl 1118.91323
Henderson, Vicky
13
2005
Analytical comparisons of option prices in stochastic volatility models. Zbl 1109.91025
Henderson, Vicky
13
2005
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
79
2002
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G.
35
2002
On the equivalence of floating- and fixed-strike Asian options. Zbl 1004.60042
Henderson, Vicky; Wojakowski, Rafał
22
2002
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
11
2002
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn
2
2002
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
8
2001
Passport options outside the Black Scholes world. Zbl 0980.91054
Henderson, Vicky
1
2001
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David
11
2000
Price comparison results and super-replication: An application to passport options. Zbl 0972.60022
Henderson, Vicky
1
2000
all top 5

Cited by 433 Authors

25 Henderson, Vicky
18 Hobson, David G.
10 Leung, Tim
7 Liang, Gechun
7 Zariphopoulou, Thaleia
5 Monoyios, Michael
4 Campi, Luciano
4 Choulli, Tahir
4 Elliott, Robert James
4 Ewald, Christian-Oliver
4 Grasselli, Matheus R.
4 Ludkovski, Michael
4 Muhle-Karbe, Johannes
4 Pelsser, Antoon A. J.
4 Pirjol, Dan
4 Sircar, Ronnie
4 Večeř, Jan
4 Yang, Zhaojun
4 Yu, Wanghui
4 Zhu, Lingjiong
3 Bergenthum, Jan
3 Chen, Xinfu
3 Chronopoulos, Michail
3 Herdegen, Martin
3 Lai, Xin
3 Li, Xun
3 Lyuu, Yuh-Dauh
3 Malamud, Semyon
3 Mostovyi, Oleksii
3 Obloj, Jan K.
3 Qin, Cong
3 Robertson, Scott
3 Rüschendorf, Ludger
3 Santacroce, Marina
3 Schweizer, Martin
3 Sîrbu, Mihai
3 Trubowitz, Eugene
3 Yang, Jinqiang
3 Yi, Fahuai
3 Zhu, Songping
3 Žitković, Gordan
2 Ankirchner, Stefan
2 Becherer, Dirk
2 Bian, Baojun
2 Ceci, Claudia
2 Černý, Aleš
2 Chakrabarty, Siddhartha P.
2 Chen, An
2 Cheridito, Patrick
2 Chong, Wing Fung
2 Covello, D.
2 Cvitanić, Jakša
2 Davis, Mark H. A.
2 De Reyck, Bert
2 Dhaene, Jan
2 Dorfleitner, Gregor
2 Eberlein, Ernst W.
2 Ekström, Erik
2 Gerardi, Anna
2 Gerer, Johannes
2 German, David
2 He, Xuedong
2 Hsu, William Wei-Yuan
2 Hu, Sang
2 Hu, Ying
2 Hugonnier, Julien-N.
2 Jaimungal, Sebastian
2 Källblad, Sigrid
2 Kampen, Jörg
2 Kanaujiya, Ankur
2 Kort, Peter M.
2 Kramkov, Dmitriĭ Olegovich
2 Kupper, Michael
2 Li, Zhongfei
2 Lundgren, Robin
2 Ma, Junfeng
2 Mi, Hui
2 Munk, Claus
2 Musiela, Marek
2 Njoh, Samuel
2 Papapantoleon, Antonis
2 Poulsen, Rolf
2 Schoenmakers, John G. M.
2 Siddiqui, Afzal S.
2 Silvestrov, Dmitrii
2 Siorpaes, Pietro
2 Siu, Tak Kuen
2 Stadje, Mitja
2 Stricker, Christophe
2 Thijssen, Jacco J. J.
2 Touzi, Nizar
2 Tse, Alex S. L.
2 Vanmaele, Michèle
2 Viens, Frederi G.
2 Wang, Huamao
2 Wang, Yang
2 Whalley, A. Elizabeth
2 Wüthrich, Mario Valentin
2 Xie, Shuxiang
2 Xu, Mingxin
...and 333 more Authors
all top 5

Cited in 72 Serials

23 Journal of Economic Dynamics & Control
22 International Journal of Theoretical and Applied Finance
21 Mathematical Finance
17 Finance and Stochastics
16 Quantitative Finance
13 Mathematics and Financial Economics
12 Insurance Mathematics & Economics
12 European Journal of Operational Research
10 Applied Mathematical Finance
9 Stochastic Processes and their Applications
8 SIAM Journal on Financial Mathematics
7 SIAM Journal on Control and Optimization
6 Applied Mathematics and Computation
5 Journal of Mathematical Analysis and Applications
5 Journal of Computational and Applied Mathematics
5 The Annals of Applied Probability
5 Review of Derivatives Research
4 Mathematical Methods of Operations Research
4 Annals of Finance
3 Journal of Applied Probability
3 Journal of Economic Theory
3 Journal of Optimization Theory and Applications
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 European Journal of Applied Mathematics
3 Decisions in Economics and Finance
3 ASTIN Bulletin
3 Asia-Pacific Financial Markets
3 Journal of Industrial and Management Optimization
3 International Journal of Stochastic Analysis
2 Advances in Applied Probability
2 Computers & Mathematics with Applications
2 Theory of Probability and its Applications
2 The Annals of Probability
2 Journal of Mathematical Economics
2 Mathematics of Operations Research
2 Mathematical Social Sciences
2 Annals of Operations Research
2 Journal of Systems Science and Complexity
1 Journal of Mathematical Physics
1 Applied Mathematics and Optimization
1 Operations Research
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 Acta Mathematicae Applicatae Sinica. English Series
1 Journal of Applied Mathematics and Stochastic Analysis
1 Economics Letters
1 Communications in Statistics. Theory and Methods
1 International Journal of Computer Mathematics
1 Computational Economics
1 SIAM Journal on Scientific Computing
1 Theory of Probability and Mathematical Statistics
1 Journal of Mathematical Sciences (New York)
1 Electronic Communications in Probability
1 Bernoulli
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Soft Computing
1 Journal of Inequalities and Applications
1 Scandinavian Actuarial Journal
1 Nonlinear Analysis. Real World Applications
1 Journal of Applied Mathematics and Computing
1 Computational Management Science
1 Stochastics
1 Journal of Fixed Point Theory and Applications
1 Frontiers of Mathematics in China
1 Advances in Data Analysis and Classification. ADAC
1 Optimization Letters
1 Journal of Statistical Theory and Practice
1 MathematicS In Action
1 Science China. Mathematics
1 Mathematical Control and Related Fields
1 International Journal of Applied and Computational Mathematics

Citations by Year