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Henderson, Vicky
16
Hobson, David
14
Hobson, David G.
6
Grasselli, Matheus
2
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2
Bjork, Tomas
1
Brown, Haydyn
1
Cox, Alexander M.G.
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Finance and stochastics
6
Journal of economic dynamics & control
5
Annals of operations research
1
Applied mathematical finance
1
Insurance / Mathematics & economics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Operations research : the journal of the Operations Research Society of America
1
Review of derivatives research
1
Risk : managing risk in the world's financial markets
1
The economic journal : the journal of the Royal Economic Society
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ECONIS (ZBW)
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1
Real options with constant relative risk aversion
Henderson, Vicky
;
Hobson, David G.
- In:
Journal of economic dynamics & control
27
(
2003
)
2
,
pp. 329
Persistent link: https://www.econbiz.de/10006764605
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Bounds for in-progress floating-strike Asian options using symmetry
Henderson, Vicky
;
Hobson, David
;
Shaw, William
; …
-
2007
Persistent link: https://www.econbiz.de/10008222035
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Local martingales, bubbles and option prices
Cox, Alexander M.G.
;
Hobson, David G.
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 477-492
Persistent link: https://www.econbiz.de/10008214153
Saved in:
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