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A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino - In: Review of derivatives research 8 (2005) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10005921830
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Passport options with stochastic volatility
Henderson, Vicky; Hobson, David - In: Applied mathematical finance 8 (2001) 2, pp. 97-118
Persistent link: https://www.econbiz.de/10008216763
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Local time, coupling and the passport option
Henderson, Vicky; Hobson, David - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10008217590
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Bounds for in-progress floating-strike Asian options using symmetry
Henderson, Vicky; Hobson, David; Shaw, William; … - 2007
Persistent link: https://www.econbiz.de/10008222035
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OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
Evans, Jonathan; Henderson, Vicky; Hobson, David - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 545-568
Persistent link: https://www.econbiz.de/10008103931
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Incomplete markets Substitute hedging - Derivatives on assets that are difficult to trade are of growing importance. Pricing requires the use of utility theory and proxy assets for hedging. The authors review the theory and discuss topical examples.
Henderson, Vicky; Hobson, David - In: Risk : managing risk in the world's financial markets 15 (2002) 5, pp. 71-76
Persistent link: https://www.econbiz.de/10007037018
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Risk Aversion, Indivisible Timing Options, and Gambling
Henderson, Vicky; Hobson, David - In: Operations research : the journal of the Operations … 61 (2013) 1, pp. 126-137
Persistent link: https://www.econbiz.de/10010091293
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OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
Henderson, Vicky; Hobson, David - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 365-383
Persistent link: https://www.econbiz.de/10009014895
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Explicit solutions to an optimal portfolio choice problem with stochastic income
Henderson, Vicky - In: Journal of economic dynamics & control 29 (2005) 7, pp. 1237-1266
Persistent link: https://www.econbiz.de/10006752035
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Valuation of Claims on Nontraded Assets Using Utility Maximization
Henderson, Vicky - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 351-374
Persistent link: https://www.econbiz.de/10008216131