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Local time, coupling and the passport option

Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80

Persistent link: https://www.econbiz.de/10001486624

Bounds for floating-strike Asian options using symmetry

Henderson, Vicky; Hobson, David G.; Shaw, William; … - 2003

Persistent link: https://www.econbiz.de/10009581655

Coupling and option price comparisons in a jumb-diffusion model

Henderson, Vicky; Hobson, David G. - 2002

Persistent link: https://www.econbiz.de/10009581663

Portfolios of American options under general preferences : results and counterexamples

Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 533-566

Persistent link: https://www.econbiz.de/10010486003

On the equivalence of floating and fixed-strike Asian options

Henderson, Vicky; Wojakowski, Rafa L. - 2001

Persistent link: https://www.econbiz.de/10009581665

Portfolios of American Options Under General Preferences : Results and Counterexamples

Henderson, Vicky - 2019

We consider the optimal exercise of a portfolio of American call options in an incomplete market. Options are written on a single underlying asset but may have different characteristics of strikes, maturities and vesting dates.Our motivation is to model the decision faced by an employee who is...

Persistent link: https://www.econbiz.de/10012905941