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Randomized strategies and prospect theory in a dynamic context

Henderson, Vicky; Hobson, David G.; Tse, Alex S. L. - In: Journal of economic theory 168 (2017), pp. 287-300

Persistent link: https://www.econbiz.de/10011747490

Probability weighting, stop-loss and the disposition effect

Henderson, Vicky; Hobson, David G.; Tse, Alex S. L. - In: Journal of economic theory 178 (2018), pp. 360-397

Persistent link: https://www.econbiz.de/10012026410

Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Gambling in contests with regret

Feng, Han; Hobson, David G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 674-695

Persistent link: https://www.econbiz.de/10011583789

Model uncertainty and the pricing of American options

Hobson, David G.; Neuberger, Anthony - In: Finance and stochastics 21 (2017) 1, pp. 285-329

Persistent link: https://www.econbiz.de/10011944370

Robust bounds for the American put

Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395

Persistent link: https://www.econbiz.de/10012023741

A multi-asset investment and consumption problem with transaction costs

Hobson, David G.; Tse, Alex S. L.; Zhu, Yeqi - In: Finance and stochastics 23 (2019) 3, pp. 641-676

Persistent link: https://www.econbiz.de/10012023758

Real options with constant relative risk aversion

Henderson, Vicky; Hobson, David G. - In: Journal of Economic Dynamics and Control 27 (2002) 2, pp. 329-355

Persistent link: https://www.econbiz.de/10005229836

Passport options with stochastic volatility

Henderson, Vicky; Hobson, David - In: Applied Mathematical Finance 8 (2001) 2, pp. 97-118

A passport option is a call option on the profits of a trading account. In this article, the robustness of passport option pricing is investigated by incorporating stochastic volatility. The key feature of a passport option is the holders' optimal strategy. It is known that in the case of...

Persistent link: https://www.econbiz.de/10005495396

Is there an informationally passive benchmark for option pricing incorporating maturity?

Henderson, Vicky; Hobson, David; Kluge, Tino - In: Quantitative Finance 7 (2007) 1, pp. 75-86

Figlewski proposed testing the incremental contribution of the Black-Scholes model by comparing its performance against an “informationally passive” benchmark, which was defined to be an option pricing formula satisfying static no-arbitrage constraints. In this paper we extend Figlewski's...

Persistent link: https://www.econbiz.de/10005495789